Related papers: A Multi Agent Model for the Limit Order Book Dynam…
We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (2013), where the price dynamics are endogenous, resulting from market transactions. We also show that the…
Industrial symbiosis fosters circularity by enabling firms to repurpose residual resources, yet its emergence is constrained by socio-spatial frictions that shape costs, matching opportunities, and market efficiency. Existing models often…
Vehicular traffic is a classical example of a multi-agent system in which autonomous drivers operate in a shared environment. The article provides an overview of the state-of-the-art in microscopic traffic modeling and the implications for…
This paper presents an agent based model of an electronic market with two types of trading agents. One type follows a mean reverting strategy and the other, the speculative trader, tracks the maximum realised return over recent trades. The…
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise…
We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the…
Online double auctions (DAs) model a dynamic two-sided matching problem with private information and self-interest, and are relevant for dynamic resource and task allocation problems. We present a general method to design truthful DAs, such…
We propose a unified mean-field framework that bridges the dynamics of informal financial markets and formal markets governed by Limit Order Books (LOBs). Both settings are modeled as interacting particle systems on a 1D price lattice, with…
We review existing approaches to mathematical modeling and analysis of multi-agent systems in which complex collective behavior arises out of local interactions between many simple agents. Though the behavior of an individual agent can be…
In electronic trading markets often only the price or volume time series, that result from interaction of multiple market participants, are directly observable. In order to test trading strategies before deploying them to real-time trading,…
We introduce a new framework for multiagent decision-making in queueing systems that leverages the agility and robustness of nonlinear opinion dynamics to break indecision during queue selection and to capture the influence of social…
Large language models (LLMs) have demonstrated impressive capabilities as autonomous agents with rapidly expanding applications in various domains. As these agents increasingly engage in socioeconomic interactions, identifying their…
Order book imbalance (OBI) - buy orders minus sell orders near the best quote - measures supply-demand imbalance that can move prices. OBI is positively correlated with returns, and some investors try to use it to improve performance. Large…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
Multiagent systems aim to accomplish highly complex learning tasks through decentralised consensus seeking dynamics and their use has garnered a great deal of attention in the signal processing and computational intelligence societies. This…
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…
We introduce an agent-based model for co-evolving opinion and social dynamics, under the influence of multiplicative noise. In this model, every agent is characterized by a position in a social space and a continuous opinion state variable.…
In this paper, we propose a statistical aggregation method for agent-based models with heterogeneous agents that interact both locally on a complex adaptive network and globally on a market. The method combines three approaches from…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
This paper describes a study of agent bidding strategies, assuming combinatorial valuations for complementary and substitutable goods, in three auction environments: sequential auctions, simultaneous auctions, and the Trading Agent…