Related papers: Multi-agent based analysis of financial data
The complex interplay between human societies and their environments has long been a subject of fascination for social scientists. Utilizing agent-based modeling, this study delves into the profound implications of seemingly inconsequential…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
In this paper, we study a distributed parameter estimation problem with an asynchronous communication protocol over multi-agent systems. Different from traditional time-driven communication schemes, in this work, data can be transmitted…
In this paper, a discrete-time multi-agent system is presented which is formulated in terms of the delta operator. The proposed multi-agent system can unify discrete-time and continuous-time multi-agent systems. In a multi-agent network, in…
We present a modeling framework for dynamical and bursty contact networks made of agents in social interaction. We consider agents' behavior at short time scales, in which the contact network is formed by disconnected cliques of different…
We present a model in which we investigate the structure and evolution of a random network that connects agents capable of exchanging wealth. Economic interactions between neighbors can occur only if the difference between their wealth is…
The main challenge of multiagent reinforcement learning is the difficulty of learning useful policies in the presence of other simultaneously learning agents whose changing behaviors jointly affect the environment's transition and reward…
In this article we survey the main research topics of our group at the University of Essex. Our research interests lie at the intersection of theoretical computer science, artificial intelligence, and economic theory. In particular, we…
We define and analyze a multi-agent multi-armed bandit problem in which decision-making agents can observe the choices and rewards of their neighbors. Neighbors are defined by a network graph with heterogeneous and stochastic…
In this work we introduce an approach for modeling and analyzing collective behavior of a group of agents using moments. We represent the group of agents via their distribution and derive a method to estimate the dynamics of the moments. We…
Empirically derived continuum models of collective behavior among large populations of dynamic agents are a subject of intense study in several fields, including biology, engineering and finance. We formulate and study a mean-field game…
Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…
We show in a simulation when economic agents are subject to evolution (random change and selection based on the success in the estimation of the result of the gamble) they acquire risk aversive behavior. This behavior appears in the form of…
A multiagent system may be thought of as an artificial society of autonomous software agents and we can apply concepts borrowed from welfare economics and social choice theory to assess the social welfare of such an agent society. In this…
Agent-based models are versatile tools for studying how societal opinion change, including political polarization and cultural diffusion, emerges from individual behavior. This study expands agents' psychological realism using…
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…
Present bias, the tendency to overvalue immediate rewards while undervaluing future ones, is a well-known barrier to achieving long-term goals. As artificial intelligence and behavioral economics increasingly focus on this phenomenon, the…
The conventional voter model is modified so that an agent's switching rate depends on the `age' of the agent, that is, the time since the agent last switched opinion. In contrast to previous work, age is continuous in the present model. We…
We propose a Statistical-Mechanics inspired framework for modeling economic systems. Each agent composing the economic system is characterized by a few variables of distinct nature (e.g. saving ratio, expectations, etc.). The agents…
The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evidence suggests that the number and makeup of pertinent…