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This paper presents a dynamic game framework to analyze the role of large banks in interbank markets. By extending existing models, we incorporate a large bank as a dynamic decision-maker interacting with multiple small banks. Using the…
Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of $N$ banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the…
The dynamics of protection processes has been a fundamental challenge in systemic risk analysis. The conceptual principle and methodological techniques behind the mechanisms involved [in such dynamics] have been harder to grasp than…
Decentralized control schemes are increasingly favored in various domains that involve multi-agent systems due to the need for computational efficiency as well as general applicability to large-scale systems. However, in the absence of an…
The paper is concerned with the study of a control system consisting of one major agent and many identical minor agents in the limit case when the number of agents tends to infinity. To study the limiting system we use the mean field…
A Multi-Agent System is a distributed system where the agents or nodes perform complex functions that cannot be written down in analytic form. Multi-Agent Systems are highly connected, and the information they contain is mostly stored in…
Understanding the evolutionary stability of cooperation is a central problem in biology, sociology, and economics. There exist only a few known mechanisms that guarantee the existence of cooperation and its robustness to cheating. Here, we…
The question how social norms can emerge from microscopic interactions between individuals is a key problem in social sciences to explain collective behavior. In this paper we propose an agent-based model to show that randomly distributed…
We study social behaviour of agents on capital markets when these are perturbed by small perturbations. We use the mean field method. Social behaviour of agents on capital markets is described: volatility of the market, aversion constant…
We study a model of competition among nomadic agents for time-varying and location-specific resources, arising in crowd-sourced transportation services, online communities, and traditional location-based economic activity. This model…
In this paper we consider a mean-field model of interacting diffusions for the monetary reserves in which the reserves are subjected to a self- and cross-exciting shock. This is motivated by the financial acceleration and fire sales…
We study a simple continuous-time multi-agent system related to Krause's model of opinion dynamics: each agent holds a real value, and this value is continuously attracted by every other value differing from it by less than 1, with an…
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or not, the game being profitable when…
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…
We develop a robust linear-quadratic mean-field control framework for systemic risk under model uncertainty, in which a central bank jointly optimizes interest rate policy and supervisory monitoring intensity against adversarial…
In Probabilistic Risk Management, risk is characterized by two quantities: the magnitude (or severity) of the adverse consequences that can potentially result from the given activity or action, and by the likelihood of occurrence of the…
Multi-agent reinforcement learning methods have shown remarkable potential in solving complex multi-agent problems but mostly lack theoretical guarantees. Recently, mean field control and mean field games have been established as a…
Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the…