Related papers: Signal amplification in an agent-based herding mod…
We consider the herding to non-herding transition caused by idiosyncratic choices or imperfect imitation in the context of the Kirman Model for financial markets, or equivalently the Noisy Voter Model for opinion formation. In these…
We review the mathematical formalism underlying the modelling of stochasticity in biological systems. Beginning with a description of the system in terms of its basic constituents, we derive the mesoscopic equations governing the dynamics…
We investigate a toy model of inductive interacting agents aiming to forecast a continuous, exogenous random variable E. Private information on E is spread heterogeneously across agents. Herding turns out to be the preferred forecasting…
Background: For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However,…
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…
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective…
A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour…
This paper considers social learning amongst rational agents (for example, sensors in a network). We consider three models of social learning in increasing order of sophistication. In the first model, based on its private observation of a…
We develop original models to study interacting agents in financial markets and in social networks. Within these models randomness is vital as a form of shock or news that decays with time. Agents learn from their observations and learning…
We propose a Markov jump process with the three-state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description…
We investigate large-scale effects induced by external fields, phenomenologically interpreted as mass media, in multiagent models evolving with the microscopic dynamics of the binary naming game. In particular, we show that a single…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
'Rich get richer' rule comforts previously often chosen actions. What is happening to the evolution of individual inclinations to choose an action when agents do interact ? Interaction tends to homogenize while each individual dynamics…
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…
Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
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 discuss a method for predicting financial movements and finding pockets of predictability in the price-series, which is built around inferring the heterogeneity of trading strategies in a multi-agent trader population. This work explores…
In high-dimensional data, structured noise caused by observed and unobserved factors affecting multiple target variables simultaneously, imposes a serious challenge for modeling, by masking the often weak signal. Therefore, (1) explaining…
We present our approach to the problem of how an agent, within an economic Multi-Agent System, can determine when it should behave strategically (i.e. learn and use models of other agents), and when it should act as a simple price-taker. We…