Related papers: Multiscaling edge effects in an agent-based money …
We present examples of agent-based and stochastic models of competition and business processes in economics and finance. We start from as simple as possible models, which have microscopic, agent-based, versions and macroscopic treatment in…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
We have used agent-based modeling as our numerical method to artificially simulate a dynamic real economy where agents are rational maximizers of an objective function of Cobb-Douglas type. The economy is characterised by heterogeneous…
We explore the effects of social influence in a simple market model in which a large number of agents face a binary choice: 'to buy/not to buy' a single unit of a product at a price posted by a single seller (the monopoly case). We consider…
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…
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.…
Network effects are the added value derived solely from the popularity of a product in an economic market. Using agent-based models inspired by statistical physics, we propose a minimal theory of a competitive market for (nearly)…
Pertaining to Agent-based Computational Economics (ACE), this work presents two models for the rise and downfall of speculative bubbles through an exchange price fixing based on double auction mechanisms. The first model is based on a…
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
Emergent effects can arise in multi-agent systems (MAS) where execution is decentralized and reliant on local information. These effects may range from minor deviations in behavior to catastrophic system failures. To formally define these…
A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
Prediction markets mobilize financial incentives to forecast binary event outcomes through the aggregation of dispersed beliefs and heterogeneous information. Their growing popularity and demonstrated predictive accuracy in political…
This paper describes an agent-based model of interacting firms, in which interacting firm agents rationally invest capital and labor in order to maximize payoff. Both transactions and production are taken into account in this model. First,…
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,…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
The agent-based Yard-Sale model of wealth inequality is generalized to incorporate exponential economic growth and its distribution. The distribution of economic growth is nonuniform and is determined by the wealth of each agent and a…