Related papers: Reverse Engineering Financial Markets with Majorit…
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are…
Some investors say increasing investors with the same strategy decreasing their profits per an investor. On the other hand, some investors using technical analysis used to use same strategy and parameters with other investors, and say that…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
Stock correlations is crucial to asset pricing, investor decision-making, and financial risk regulations. However, microscopic explanation based on agent-based modeling is still lacking. We here propose a model derived from minority game…
Just as war is sometimes fallaciously represented as a zero sum game -- when in fact war is a negative sum game - stock market trading, a positive sum game over time, is often erroneously represented as a zero sum game. This is called the…
This study provides an in-depth analysis of the model architecture and key technologies of generative artificial intelligence, combined with specific application cases, and uses conditional generative adversarial networks ( cGAN ) and time…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
Financial time series simulation is a central topic since it extends the limited real data for training and evaluation of trading strategies. It is also challenging because of the complex statistical properties of the real financial data.…
In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was…
We consider the simultaneous control of the relative phase and populations of two-level quantum systems by an external field. We apply a reverse engineering approach, which allows obtaining an analytical expression for the control field…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…
We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…
In this paper, our objective is to develop a multi-agent financial system that incorporates simulated trading, a technique extensively utilized by financial professionals. While current LLM-based agent models demonstrate competitive…
In this chapter, we deal with some specific domains of applications to game theory. This is one of the major class of models in the new approaches of modelling in the economic domain. For that, we use genetic automata which allow to build…
This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market…
Market makers play a key role in financial markets by providing liquidity. They usually fill order books with buy and sell limit orders in order to provide traders alternative price levels to operate. This paper focuses precisely on the…
Agent-based models (ABMs) are fit to model heterogeneous, interacting systems like financial markets. We present the latest advances in Evology: a heterogeneous, empirically calibrated market ecology agent-based model of the US stock…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which…