Related papers: Risk Dynamics in Trade Networks
Threshold models and their dynamics may be used to model the spread of `behaviors' in social networks. Regarding such from a modal logical perspective, it is shown how standard update mechanisms may be emulated using action models -- graphs…
Trading markets represent a real-world financial application to deploy reinforcement learning agents, however, they carry hard fundamental challenges such as high variance and costly exploration. Moreover, markets are inherently a…
Sustainable financial markets play an important role in the functioning of human society. Still, the detection and prediction of risk in financial markets remain challenging and draw much attention from the scientific community. Here we…
We define a minimal model of traffic flows in complex networks containing the most relevant features of real routing schemes, i.e. a trade--off strategy between topological-based and traffic-based routing. The resulting collective behavior,…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
We review the statistical mechanics approach to the study of the emerging collective behavior of systems of heterogeneous interacting agents. The general framework is presented through examples is such contexts as ecosystem dynamics and…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
The estimation of loss distributions for dynamic portfolios requires the simulation of scenarios representing realistic joint dynamics of their components. We propose a novel data-driven approach for simulating realistic, high-dimensional…
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…
In the past few years, the discoveries of small-world and scale-free properties of many natural and artificial complex networks have stimulated significant advances in better understanding the relationship between the topology and the…
We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent variables (dynamic fitnesses) describing the…
Trades based on bilateral (indivisible) contracts can be represented by a network. Vertices correspond to agents while arcs represent the non-price elements of a bilateral contract. Given prices for each arc, agents choose the incident arcs…
The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
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…
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…
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…
The objective of this paper is to initiate a qualitative analysis of dynamic flow in traffic networks by using the competitive equilibrium model of multiple market systems. A network is modeled as a dynamic graph where routes (edges) are…