Market Modeling
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When Sampling Faster Makes You Wrong
Realized variance should converge to an SDE's quadratic variation as you sample faster — market microstructure noise makes it diverge instead. The volatility signature plot, and the two-scale fix.
Read more →What Agent-Based Models See That Regressions Miss
Standard regression conflates micro configurations that produce identical macro observables. Four classical examples — wealth concentration from random exchange, Schelling segregation, phantom traffic jams, and bank runs — show that genuine causal structure can be invisible to aggregate statistics and only visible at the level of agent interactions.
Read more →Agent-Based Models in the Peanut Butter Industry
Any market with heterogeneous agents, inventory dynamics, and competitive pricing produces emergent behavior that ABM is built to capture. Peanut butter turns out to be a surprisingly clean example.
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