Related papers: Agent-based model with multi-level herding for com…
We introduce an agent-based model for the spreading of technological developments in socio-economic systems where the technology is mainly used for the collaboration/interaction of agents. Agents use products of different technologies to…
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…
Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility…
We study the behaviour of a Schelling-class system in which a fraction $f$ of spatially-fixed switching agents is introduced. This new model allows for multiple interpretations, including: (i) random, non-preferential allocation…
This paper considers a statistical signal processing problem involving agent based models of financial markets which at a micro-level are driven by socially aware and risk- averse trading agents. These agents trade (buy or sell) stocks by…
We study the shepherding control problem where a group of "herders" need to orchestrate their collective behaviour in order to steer the dynamics of a group of "target" agents towards a desired goal. We relax the strong assumptions of…
With the random matrix theory, we study the spatial structure of the Chinese stock market, American stock market and global market indices. After taking into account the signs of the components in the eigenvectors of the cross-correlation…
Financial markets are inherently non-stationary, driven by complex interactions among macroeconomic regimes, microstructural frictions, and behavioral dynamics. Building quantitative strategies that remain profitable demands the continuous…
Self-organization is a process where a stable pattern is formed by the cooperative behavior between parts of an initially disordered system without external control or influence. It has been introduced to multi-agent systems as an internal…
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a…
Accurate stock price forecasting has consistently remained a pivotal yet challenging FinTech task that underpins quantitative trading and investment decision making. Recent efforts have been dedicated to modeling various complex…
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…
From an enactive approach, some previous studies have demonstrated that social interaction plays a fundamental role in the dynamics of neural and behavioral complexity of embodied agents. In particular, it has been shown that agents with a…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to…
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
We present a new method for articulating scale-dependent topological descriptions of the network structure inherent in many complex systems. The technique is based on "Partition Decoupled Null Models,'' a new class of null models that…
Herding, where investors imitate others' decisions rather than relying on their own analysis, is a prevalent phenomenon in financial markets. Excessive herding distorts rational decisions, amplifies volatility, and can be exploited by…
Stock correlations is crucial to asset pricing, investor decision-making, and financial risk regulations. However, microscopic explanation based on agent-based modeling is still lacking. We here propose a model derived from minority game…