Related papers: An agent behavior based model for diffusion price …
The well-known Ising model used in statistical physics was adapted to a social dynamics context to simulate the adoption of a technological innovation. The model explicitly combines (a) an individual's perception of the advantages of an…
A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour…
We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to…
Empirically derived continuum models of collective behavior among large populations of dynamic agents are a subject of intense study in several fields, including biology, engineering and finance. We formulate and study a mean-field game…
Present bias, the tendency to overvalue immediate rewards while undervaluing future ones, is a well-known barrier to achieving long-term goals. As artificial intelligence and behavioral economics increasingly focus on this phenomenon, the…
The ability to predict the future trajectories of traffic participants is crucial for the safe and efficient operation of autonomous vehicles. In this paper, a diffusion-based generative model for multi-agent trajectory prediction is…
Point processes often have a natural interpretation with respect to a continuous process. We propose a point process construction that describes arrival time observations in terms of the state of a latent diffusion process. In this…
This article reviews a few basic features of systems of one-dimensional diffusions with rank-based characteristics. Such systems arise in particular in the modelling of financial markets , where they go by the name of Atlas models. We…
The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…
Agent-based modeling is a computational dynamic modeling technique that may be less familiar to some readers. Agent-based modeling seeks to understand the behaviour of complex systems by situating agents in an environment and studying the…
A growing part of the behavioral finance literature has addressed some of the stylized facts of financial time series as macroscopic patterns emerging from herding interactions among groups of agents with heterogeneous trading strategies…
We study the dynamics of individual agents in some kinetic models of wealth exchange, particularly, the models with savings. For the model with uniform savings, agents perform simple random walks in the "wealth space". On the other hand, we…
We investigate an agent-based model for the emergence of corruption in public contracts. There are two types of agents: business people and public servants. Both business people and public servants can adopt two strategies: corrupt or…
Riots originating during, or in the aftermath of, sports events can incur significant costs in damages, as well as large-scale panic and injuries. A mathematical description of sports riots is therefore sought to better understand their…
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…
We analyze the dynamics of multi-agent collective behavior models and their control theoretical properties. We first derive a large population limit to parabolic diffusive equations. We also show that the non-local transport equations…
We introduce a model of negotiation dynamics whose aim is that of mimicking the mechanisms leading to opinion and convention formation in a population of individuals. The negotiation process, as opposed to ``herding-like'' or ``bounded…
We propose a class of Markovian agent based models for the time evolution of a share price in an interactive market. The models rely on a microscopic description of a market of buyers and sellers who change their opinion about the stock…
We develop an agent-based model on a lattice to investigate territorial development motivated by markings such as graffiti, generalizing a previously-published model to account for $K$ groups instead of two groups. We then analyze this…
Knowledge acquisition by consumers is a key process in the diffusion of innovations. However, in standard theories of the representative agent, agents do not learn and innovations are adopted instantaneously. Here, we show that in a…