Related papers: Fluctuation analysis of the three agent groups her…
We consider the problem of controlling the group behavior of a large number of dynamic systems that are constantly interacting with each other. These systems are assumed to have identical dynamics (e.g., birds flock, robot swarm) and their…
Resource allocation takes place in various types of real-world complex systems such as urban traf- fic, social services institutions, economical and ecosystems. Mathematically, the dynamical process of complex resource allocation can be…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
The current economic crisis has provoked an active response from the interdisciplinary scientific community. As a result many papers suggesting what can be improved in understanding of the complex socio-economics systems were published.…
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
In this paper, we analyze the behavior of a multi-agent system driven by the interactions of agents within a competitive environment. To achieve this, we describe the transition probabilities that underlie the system's stochastic nature. We…
Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-based prediction market platform which…
This paper presents a simple agent-based model of an economic system, populated by agents playing different games according to their different view about social cohesion and tax payment. After a first set of simulations, correctly…
We review some statistical many-agent models of economic and social systems inspired by microscopic molecular models and discuss their stochastic interpretation. We apply these models to wealth exchange in economics and study how the…
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 developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…
In this short paper we define the wealth process in a spin model for market microstructure, for individual agents and in aggregate. The agents in our model try to balance their desire to belong to the local majority (herding behavior),…
We analyse the effect of intrinsic fluctuations on the properties of bistable stochastic systems with time scale separation operating under1 quasi-steady state conditions. We first formulate a stochastic generalisation of the quasi-steady…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
We introduce and analyze a model for the dynamics of flocking and steering of a finite number of agents. In this model, each agent's acceleration consists of flocking and steering components. The flocking component is a generalization of…
The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a…
For most stochastic dynamical systems, variables which are tightly regulated tend to respond slowly to external changes. This idea is often discussed for applicable systems, within a linear response regime, through the Fluctuation…
Two hallmarks of non-equilibrium systems, from active colloids to animal herds, are agents motility and nonreciprocal interactions. Their interplay creates feedback loops leading to complex spatiotemporal dynamics crucial to understand and…
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…
We study systems of interacting reinforced stochastic processes, where agents' decisions evolve under reinforcement, network-mediated interactions, and environmental influences. In competitive environments with irreducible networks, we…