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We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…
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…
A simple model of activatory-inhibitory interactions controlling the activity of agents (substrates) through a "saturated response" dynamical rule in a scale-free network is thoroughly studied. After discussing the most remarkable dynamical…
We investigate a social system of agents faced with a binary choice. We assume there is a correct, or beneficial, outcome of this choice. Furthermore, we assume agents are influenced by others in making their decision, and that the agents…
A discrete time branching process where the offspring distribution is generation-dependent, and the number of reproductive individuals is controlled by a random mechanism is considered. This model is a Markov chain but, in general, the…
A cellular automata model that describes as limit cases of his parameters the spread of contagious diseases modeled by systems of ordinary or partial differential equations is developed. Periodic features of the behavior of human settlement…
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…
We study locally interacting processes in discrete time, often called probabilistic cellular automata, indexed by locally finite graphs. For infinite regular trees and certain generalized Galton-Watson trees, we show that the marginal…
A mutualism is an interaction where the involved species benefit from each other. We study a two-dimensional hexagonal three-state cellular automaton model of a two-species mutualistic system. The simple model is characterized by four…
We discuss the influence of information contagion on the dynamics of choices in social networks of heterogeneous buyers. Starting from an inhomogeneous cellular automata model of buyers dynamics, we show that when agents try to adjust their…
We introduce the Speculative Influence Network (SIN) to decipher the causal relationships between sectors (and/or firms) during financial bubbles. The SIN is constructed in two steps. First, we develop a Hidden Markov Model (HMM) of…
Collective behavior of the complex socio-economic systems is heavily influenced by the herding, group, behavior of individuals. The importance of the herding behavior may enable the control of the collective behavior of the individuals. In…
We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…
Understanding and forecasting future trajectories of agents are critical for behavior analysis, robot navigation, autonomous cars, and other related applications. Previous methods mostly treat trajectory prediction as time sequence…
In this paper, we analyze the asymptotic behavior of a system of interacting reinforced stochastic processes $({\bf Z}_n, {\bf N}_n)_n$ on a directed network of $N$ agents. The system is defined by the coupled dynamics ${\bf…
This paper explores the estimation of a panel data model with cross-sectional interaction that is flexible both in its approach to specifying the network of connections between cross-sectional units, and in controlling for unobserved…
We consider a dynamic social network model in which agents play repeated games in pairings determined by a stochastically evolving social network. Individual agents begin to interact at random, with the interactions modeled as games. The…
Probabilistic model checking is a technique for formal automated reasoning about software or hardware systems that operate in the context of uncertainty or stochasticity. It builds upon ideas and techniques from a diverse range of fields,…
In this paper, we propose a statistical aggregation method for agent-based models with heterogeneous agents that interact both locally on a complex adaptive network and globally on a market. The method combines three approaches from…
We investigate the percolation properties of a two-state (occupied - empty) cellular automaton, where at each time step a cluster of occupied sites is removed and the same number of randomly chosen empty sites are occupied again. We find a…