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We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
The paper treats the financial market as a communication system, using four information-theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model minimizes the…
In the past, financial stock markets have been studied with previous generations of multi-agent systems (MAS) that relied on zero-intelligence agents, and often the necessity to implement so-called noise traders to sub-optimally emulate…
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…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus…
The initial purpose of the study is to search whether the market exhibits herd behaviour or not by examining the crypto-asset market in the context of behavioural finance. And the second purpose of the study is to measure whether the…
Agent-based models (ABMs) are fit to model heterogeneous, interacting systems like financial markets. We present the latest advances in Evology: a heterogeneous, empirically calibrated market ecology agent-based model of the US stock…
In the last years efforts in econophysics have been shifted to study how network theory can facilitate understanding of complex financial markets. Main part of these efforts is the study of correlation-based hierarchical networks. This is…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
The dynamics of competing opinions in social network play an important role in society, with many applications in diverse social contexts as consensus, elections, morality and so on. Here we study a model of interacting agents connected in…
We investigate large-scale effects induced by external fields, phenomenologically interpreted as mass media, in multiagent models evolving with the microscopic dynamics of the binary naming game. In particular, we show that a single…
We propose and study the integration of sentiment analysis and deep reinforcement learning ensemble algorithms for stock trading by evaluating strategies capable of dynamically altering their active agent given the concurrent market…
We discuss recent work in the study of a simple model for the collective behaviour of diverse speculative agents in an idealized stockmarket, considered from the perspective of the statistical physics of many-body systems. The only…
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and…
Individual choices are either based on personal experience or on information provided by peers. The latter case, causes individuals to conform to the majority in their neighborhood. Such herding behavior may be very efficient in aggregating…
Traditional economic models typically treat private information, or signals, as generated from some underlying state. Recent work has explicated alternative models, where signals correspond to interpretations of available information. We…
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…