Related papers: Multi-agent based analysis of financial data
The "Money Exchange Model" is a type of agent-based simulation model used to study how wealth distribution and inequality evolve through monetary exchanges between individuals. The primary focus of this model is to identify the limiting…
Recent advances in large language models, tool-using agents, and financial machine learning are shifting financial automation from isolated prediction tasks to integrated decision systems that can perceive information, reason over…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
This article reviews a few basic features of systems of one-dimensional diffusions with rank-based characteristics. Such systems arise in particular in the modelling of financial markets , where they go by the name of Atlas models. We…
This paper deals with the derivation of the mean-field limit for multi-agent systems on a large class of sparse graphs. More specifically, the case of non-exchangeable multi-agent systems consisting of non-identical agents is addressed. The…
In this note, the problem of simultaneous leader-following consensus and parameter estimation is studied for a class of multi-agent systems subject to an uncertain leader system. The leader system is described by a sum of sinusoids with…
In an adaptive population which models financial markets and distributed control, we consider how the dynamics depends on the diversity of the agents' initial preferences of strategies. When the diversity decreases, more agents tend to…
We present an agent behavior based microscopic model for diffusion price processes. As such we provide a model not only containing a convenient framework for describing socio-economic behavior, but also a sophisticated link to price…
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…
This paper investigates the dynamics of noncooperative interactions between artificial intelligence agents and human decision-makers in strategic environments. In particular, motivated by extensive literature in behavioral Economics, human…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
Large language models have been used to simulate human society using multi-agent systems. Most current social simulation research emphasizes interactive behaviors in fixed environments, ignoring information opacity, relationship…
In this paper consensus in second-order multi-agent systems with a non-periodic sampled-data exchange among agents is investigated. The sampling is random with bounded inter-sampling intervals. It is assumed that each agent has exact…
Many complex systems can be modeled as multiagent systems in which the constituent entities (agents) interact with each other. The global dynamics of such a system is determined by the nature of the local interactions among the agents.…
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The…
We propose a model for equity trading in a population of agents where each agent acts to achieve his or her target stock-to-bond ratio, and, as a feedback mechanism, follows a market adaptive strategy. In this model only a fraction of…
This paper presents the overall design of a multi-agent framework for tuning the performance of an application executing in a distributed environment. The multi-agent framework provides services like resource brokering, analyzing…
We investigate a social system of agents faced with a binary choice. We assume there is a correct, or beneficial, outcome of this choice. Furthermore, we assume agents are influenced by others in making their decision, and that the agents…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We study the poor-biased model for money exchange introduced in [2]: agents are being randomly picked at a rate proportional to their current wealth, and then the selected agent gives a dollar to another agent picked uniformly at random.…