Related papers: The value of information in financial markets: An …

We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…

Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…

We investigate the financial market dynamics by introducing a heterogeneous agent-based opinion formation model. In this work, we organize the individuals in a financial market by their trading strategy, namely noise traders and…

This paper investigates the optimal hedging strategies of an informed broker interacting with multiple traders in a financial market. We develop a theoretical framework in which the broker, possessing exclusive information about the drift…

We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to…

Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-based prediction market platform which…

The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…

This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents are assumed to have a finite (but random)…

Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…

Electronic trading markets have evolved rapidly with continued adoption of new technologies and growing in-formation acquisition and processing capabilities. Traditional perspectives on trading performance adopted a mono-lithic view of…

The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…

We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…

A seller offers an asset in a decentralised market. Buyers have private signals about their common value. I study whether the market becomes allocatively more efficient with (i) more buyers, (ii) better-informed buyers. Both increase the…

This paper presents a simple agent-based model of an economic system, populated by agents playing different games according to their different view about social cohesion and tax payment. After a first set of simulations, correctly…

Artificial stock market simulation based on agent is an important means to study financial market. Based on the assumption that the investors are composed of a main fund, small trend and contrarian investors characterized by four…

In many non-cooperative settings, agents often possess useful information that provide an advantage over their opponent(s), but acting on such information too frequently can lead to detection. I develop a simple framework to analyze such a…

A decision maker is choosing between an active action (e.g., purchase a house, invest certain stock) and a passive action. The payoff of the active action depends on the buyer's private type and also an unknown state of nature. An…

Modern information access ecosystems consist of mixtures of systems, such as retrieval systems and large language models, and increasingly rely on marketplaces to mediate access to models, tools, and data, making competition between systems…

We investigate a toy model of inductive interacting agents aiming to forecast a continuous, exogenous random variable E. Private information on E is spread heterogeneously across agents. Herding turns out to be the preferred forecasting…

Since the information available is fundamental for our perceptions and opinions, we are interested in understanding the conditions allowing for a good information to be disseminated. This paper explores opinion dynamics by means of…