Related papers: Detecting anchoring in financial markets
A perspective is taken on the intangible complexity of economic and social systems by investigating the underlying dynamical processes that produce, store and transmit information in financial time series in terms of the \textit{moving…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…
Reinforcement learning algorithms describe how an agent can learn an optimal action policy in a sequential decision process, through repeated experience. In a given environment, the agent policy provides him some running and terminal…
In topic modeling, many algorithms that guarantee identifiability of the topics have been developed under the premise that there exist anchor words -- i.e., words that only appear (with positive probability) in one topic. Follow-up work has…
Prediction markets are used in real life to predict outcomes of interest such as presidential elections. This paper presents a mathematical theory of artificial prediction markets for supervised learning of conditional probability…
Reinforcement learning (RL) is an innovative approach to financial decision making, offering specialized solutions to complex investment problems where traditional methods fail. This review analyzes 167 articles from 2017--2025, focusing on…
Machine learning algorithms are now frequently used in sensitive contexts that substantially affect the course of human lives, such as credit lending or criminal justice. This is driven by the idea that `objective' machines base their…
Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with…
The theory of rational choice assumes that when people make decisions they do so in order to maximize their utility. In order to achieve this goal they ought to use all the information available and consider all the choices available to…
An artificial stock market is established based on multi-agent . Each agent has a limit memory of the history of stock price, and will choose an action according to his memory and trading strategy. The trading strategy of each agent evolves…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
This paper builds a model of interactive belief hierarchies to derive the conditions under which judging an arbitrage opportunity requires Bayesian market participants to exercise their higher-order beliefs. As a Bayesian, an agent must…
Resource allocation takes place in various kinds of real-world complex systems, such as the traffic systems, social services institutions or organizations, or even the ecosystems. The fundamental principle underlying complex…
We use machine learning techniques to investigate whether it is possible to replicate the behavior of bank managers who assess the risk of commercial loans made by a large commercial US bank. Even though a typical bank already relies on an…
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…
We introduce a method to infer lead-lag networks of agents' actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such systems. We apply this method to trader-resolved data in the…
Much of economic theory is built on observations of aggregate, rather than individual, behavior. Here, we present novel findings on human shopping patterns at the resolution of a single purchase. Our results suggest that much of our…
The housing market, also known as one-sided matching market, is a classic exchange economy model where each agent on the demand side initially owns an indivisible good (a house) and has a personal preference over all goods. The goal is to…
Financial time series have historically been assumed to be a martingale process under the Random Walk hypothesis. Instead of making investment decisions using the raw prices alone, various multimodal pattern matching algorithms have been…