Related papers: Market behavior and performance of different strat…

In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…

Some of the most relevant future applications of multi-agent systems like autonomous driving or factories as a service display mixed-motive scenarios, where agents might have conflicting goals. In these settings agents are likely to learn…

Rather than directly predicting future prices or returns, we follow a more recent trend in asset management and classify the state of a market based on labels. We use numerous standard labels and even construct our own ones. The labels rely…

The game theory techniques are used to find the equilibrium of a market. Game theory refers to the ways in which strategic interactions among economic agents produce outcomes with respect to the preferences (or utilities) of those agents,…

Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…

We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…

In many settings, machine learning models may be used to inform decisions that impact individuals or entities who interact with the model. Such entities, or agents, may game model decisions by manipulating their inputs to the model to…

The dynamics of minority games with agents trading on different time scales is studied via dynamical mean-field theory. We analyze the case where the agents' decision-making process is deterministic and its stochastic generalization with…

The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…

We study the role of imitation within the Minority Game model of market. The players can exchange information locally, which leads to formation of groups which act as if they were single players. Coherent spatial areas of rich and poor…

We review research papers which use game theory to model the decision making of individuals during an epidemic, attempting to classify the literature and identify the emerging trends in this field. We show that the literature can be…

In repeated games, such as auctions, players rely on autonomous learning agents to choose their actions. We study settings in which players have their agents make monetary transfers to other agents during play at their own expense, in order…

We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…

We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized…

Game theory has been developed by scientists as a theory of strategic interaction among players who are supposed to be perfectly rational. These strategic interactions might have been presented in an auction, a business negotiation, a chess…

We propose a new model of minority game with so-called smart agents such that the standard deviation and the total loss in this model reach the theoretical minimum values in the limit of long time. The smart agents use trail and error…

In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The investment decision of investors,…

This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented. Instead of herding…

In this paper we present results and analyses of a class of games in which heterogeneous agents are rewarded for being in a minority group. Each agent possesses a number of fixed strategies each of which are predictors of the next minority…

We consider a simple binary market model containing $N$ competitive agents. The novel feature of our model is that it incorporates the tendency shown by traders to look for patterns in past price movements over multiple time scales, i.e.…