Related papers: Agent-Based Stock Market Model with Endogenous Age…
Accurate volatility forecasts are vital in modern finance for risk management, portfolio allocation, and strategic decision-making. However, existing methods face key limitations. Fully multivariate models, while comprehensive, are…
This article presents XGB-Chiarella, a powerful new approach for deploying agent-based models to generate realistic intra-day artificial financial price data. This approach is based on agent-based models, calibrated by XGBoost machine…
The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenarios, such as a flash crash, a margin call, or changes in…
We present a simple, yet realistic, agent-based model of an electricity market. The proposed model combines the spot and balancing markets with a resolution of one minute, which enables a more accurate depiction of the physical properties…
Agent-based modeling and simulation allow us to study social phenomena in hypothetical scenarios. If we stretch our imagination, one of the interesting scenarios would be our interstellar future. To model an interstellar society, we need to…
We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling…
We introduce a simple agent-based model which allows us to analyze three stylized facts: a fat-tailed size distribution of companies, a `tent-shaped' growth rate distribution, the scaling relation of the growth rate variance with firm size,…
Learning to coordinate many agents in partially observable and highly dynamic environments requires both informative representations and data-efficient training. To address this challenge, we present a novel model-based multi-agent…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents…
Modern socio-economic systems are undergoing deep integration with artificial intelligence technologies. This paper constructs a heterogeneous agent-based modeling framework that incorporates both human workers and autonomous AI agents, to…
We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market…
Agent-based modeling is a computational dynamic modeling technique that may be less familiar to some readers. Agent-based modeling seeks to understand the behaviour of complex systems by situating agents in an environment and studying the…
In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a…
An artificial stock market is established with the modeling method and ideas of cellular automata. Cells are used to represent stockholders, who have the capability of self-teaching and are affected by the investing history of the…
Modelling of complex systems is mainly based on the decomposition of these systems in autonomous elements, and the identification and definitio9n of possible interactions between these elements. For this, the agent-based approach is a…
Electricity market modelling is often used by governments, industry and agencies to explore the development of scenarios over differing timeframes. For example, how would the reduction in cost of renewable energy impact investments in gas…
This paper presents an agent based model of an electronic market with two types of trading agents. One type follows a mean reverting strategy and the other, the speculative trader, tracks the maximum realised return over recent trades. The…
A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…