Related papers: A Multi Agent Model for the Limit Order Book Dynam…
This paper introduces a Markov chain approach that allows a rigorous analysis of agent based opinion dynamics as well as other related agent based models (ABM). By viewing the ABM dynamics as a micro description of the process, we show how…
We consider a dynamic pricing problem for repeated contextual second-price auctions with multiple strategic buyers who aim to maximize their long-term time discounted utility. The seller has limited information on buyers' overall demand…
We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model…
The control of a single agent in complex and uncertain multi-agent environments requires careful consideration of the interactions between the agents. In this context, this paper proposes a dual model predictive control (MPC) method using…
Multi-agent systems are prevalent in a wide range of domains including power systems, vehicular networks, and robotics. Two important problems to solve in these types of systems are how the intentions of non-coordinating agents can be…
The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
This paper explores the bifurcative dynamics of an artificial stock market exchange (ASME) with endogenous, myopic traders interacting through a limit order book (LOB). We showed that agent-based price dynamics possess intrinsic…
This work investigates the effects of complex networks on the collective behavior of a three-state opinion formation model in economic systems. Our model considers two distinct types of investors in financial markets: noise traders and…
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting agent model of…
We present a general Markovian framework for order book modeling. Through our approach, we aim at providing a tool enabling to get a better understanding of the price formation process and of the link between microscopic and macroscopic…
Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…
This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is modeled by Cox processes, with intensities depending on the…
We introduce a new Self-Organized Criticality (SOC) model for simulating price evolution in an artificial financial market, based on a multilayer network of traders. The model also implements, in a quite realistic way with respect to…
Market making (MM) is an important research topic in quantitative finance, the agent needs to continuously optimize ask and bid quotes to provide liquidity and make profits. The limit order book (LOB) contains information on all active…
We investigate the stability and robustness properties of a continuification-based strategy for the control of large-scale multiagent systems. Within continuation-based strategy, one transforms the microscopic, agent-level description of…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
The \$-Game was recently introduced as an extension of the Minority Game. In this paper we compare this model with the well know Minority Game and the Majority Game models. Due to the inter-temporal nature of the market payoff, we introduce…
This paper presents a Multi-Agent Norm Perception and Induction Learning Model aimed at facilitating the integration of autonomous agent systems into distributed healthcare environments through dynamic interaction processes. The nature of…
In this paper, we consider the problem of resource congestion control for competing online learning agents. On the basis of non-cooperative game as the model for the interaction between the agents, and the noisy online mirror ascent as the…