Related papers: A competitive multi-agent model of interbank payme…

In this paper, we study a matching market model on a bipartite network where agents on each side arrive and depart stochastically by a Poisson process. For such a dynamic model, we design a mechanism that decides not only which agents to…

A principal uses payments conditioned on stochastic outcomes of a team project to elicit costly effort from the team members. We develop a multi-agent generalization of a classic first-order approach to contract optimization by leveraging…

Multi-agent learning is a challenging problem in machine learning that has applications in different domains such as distributed control, robotics, and economics. We develop a prescriptive model of multi-agent behavior using Markov games.…

We present our approach to the problem of how an agent, within an economic Multi-Agent System, can determine when it should behave strategically (i.e. learn and use models of other agents), and when it should act as a simple price-taker. We…

The stochastic multi-armed bandit has provided a framework for studying decision-making in unknown environments. We propose a variant of the stochastic multi-armed bandit where the rewards are sampled from a stochastic linear dynamical…

We introduce a framework to study the effective objectives at different time scales of financial market microstructure. The financial market can be regarded as a complex adaptive system, where purposeful agents collectively and…

We consider a model of nomadic agents exploring and competing for time-varying location-specific resources, arising in crowdsourced transportation services, online communities, and in traditional location based economic activity. This model…

We are exploring the enhancement of models of agent behaviour with more "human-like" decision making strategies than are presently available. Our motivation is to developed with a view to as the decision analysis and support for electric…

Consider a multi-agent system in a dynamic and uncertain environment. Each agent's local decision problem is modeled as a Markov decision process (MDP) and agents must coordinate on a joint action in each period, which provides a reward to…

We propose a mean field control game model for the intra-and-inter-bank borrowing and lending problem. This framework allows to study the competitive game arising between groups of collaborative banks. The solution is provided in terms of…

Motivated by applications such as online labor markets we consider a variant of the stochastic multi-armed bandit problem where we have a collection of arms representing strategic agents with different performance characteristics. The…

The high-order complexity of human behaviour is likely the root cause of extreme difficulty in financial market projections. We consider that behavioural simulation can unveil systemic dynamics to support analysis. Simulating diverse human…

The dual crises of the sub-prime mortgage crisis and the global financial crisis has prompted a call for explanations of non-equilibrium market dynamics. Recently a promising approach has been the use of agent based models (ABMs) to…

While multiagent systems have shown promise for tackling complex tasks via specialization, finetuning multiple agents simultaneously faces two key challenges: (1) credit assignment across agents, and (2) sample efficiency of expensive…

We consider non-cooperative facility location games where both facilities and clients act strategically and heavily influence each other. This contrasts established game-theoretic facility location models with non-strategic clients that…

We consider the problem faced by a service platform that needs to match limited supply with demand but also to learn the attributes of new users in order to match them better in the future. We introduce a benchmark model with heterogeneous…

Intelligent agents offer a new and exciting way of understanding the world of work. Agent-Based Simulation (ABS), one way of using intelligent agents, carries great potential for progressing our understanding of management practices and how…

Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential trading patterns in the e-MID market recently empirically…

We present a novel agent-based approach to simulating an over-the-counter (OTC) financial market in which trades are intermediated solely by market makers and agent visibility is constrained to a network topology. Dynamics, such as changes…

We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…