This paper examines if (and how) continuous-time trading renders dynamically-complete a financial market in which the underlying risk process is a Brownian motion and the securities pay dividends that are proportional to geometric Brownian motions. A sufficient condition, that the instantaneous...

This paper studies the pricing implications of the sole ambiguity aversion, in a Lucas’ tree economy where asset returns are ambiguous. Abstracting from a specific functional form, we disentangle the model-specific effect from the effect of ambiguity aversion. In addition, we allow the...

The aim of this paper is to describe a method to introduce empirical data in agent based models. Starting from the econometric and calibration literature, it is shown how to select the values of the parameters in the model and which conditions has to be met to have consistent estimations. A...

We show that the introduction in a power utility function of a confidence index to sig- nal the state of the world allows for an otherwise standard asset pricing model to match the observed consumption growth volatility and excess returns with a reasonable level of relative risk aversion. Our...

What is the relationship, if any, between Experimental Economics and Agent-based Computational Economics? Experimental Economics (EXP) investigates individual behaviour (and the emergence of aggregate regularities) by means of human subject experiments. Agent-based Computational Economics (ACE),...

This paper presents a non-equilibrium, agent-based model of workers and firms, with on-the-job searching, endogenous entrepreneurial decisions and endogenous wage and income determination. Workers and firms are heterogeneous, and learn their strategy in the labor market. The model is able to...

An urn-ball probabilistic model of the labour market is developed. Agents can be employed, (voluntary or involuntary) unemployed or entrepreneurs. The analytical long run equilibrium probabilities for each state and the matching function are derived. Then, the out-of-equilibrium dynamics are...

Multiplicative models of firm dynamics ‘à la Gibrat’ have become a standard reference in industrial organization. However, some unpleasant properties of their implied dynamics – namely, their explosive or implosive behaviour (firm size and number collapsing to zero or increasing...

In this paper I review the main strengths and weaknesses of agent-based computational models. In particular I rationalise the main theoretical critiques, which point to the following problematic areas: (i) interpretation of the simulation dynamics, (ii) estimation of the simulation model, and...