Related papers: An agent behavior based model for diffusion price …
Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with…
We present a new type of spin market model, populated by hierarchical agents, represented as configurations of sites and arcs in an evolving network. We describe two analytic techniques for investigating the asymptotic behavior of this…
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
We define an opinion formation model of agents in a 1d ring, where the opinion of an agent evolves due to its interactions with close neighbors and due to its either positive or negative attitude toward the overall mood of all the other…
This work suggests modifications to a previously introduced class of heterogeneous agent models that allow for the inclusion of different types of agent motivations and behaviours in a unified way. The agents operate within a highly…
Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…
We represent the functioning of the housing market and study the relation between income segregation, income inequality and house prices by introducing a spatial Agent-Based Model (ABM). Differently from traditional models in urban…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
The transition from a microscopic model for the movement of many particles to a macroscopic continuum model for a density flow is studied. The microscopic model for the free flow is completely deterministic, described by an interaction…
Reaction-diffusion processes are the foundational model for a diverse range of complex systems, ranging from biochemical reactions to social agent-based phenomena. The underlying dynamics of these systems occur at the individual…
We present a simple dynamical model for describing trading interactions between agents in a social network by considering only two dynamical variables, namely money and goods or services, that are assumed conserved over the whole time span…
Despite the advanced stage of epidemic modeling, there is a major demand for methods to incorporate behavioral responses to the spread of a disease such as social distancing and adoption of prevention methods. Mobility plays an important…
The emergence of labor division in multi-agent system is analyzed by the method of statistical physics. Considering a system consists of N homogeneous agents. Their behaviors are determined by the returns from their production. Using the…
Quasi-equilibrium models for aggregate variables are widely-used throughout finance and economics. The validity of such models depends crucially upon assuming that the systems' participants behave both independently and in a Markovian…
This paper introduces a microscopic approach to model epidemics, which can explicitly consider the consequences of individual's decisions on the spread of the disease. We first formulate a microscopic multi-agent epidemic model where every…
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient…
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 this article we study the behavior of a group of economic agents in the context of cooperative game theory, interacting according to rules based on the Potts Model with suitable modifications. Each agent can be thought of as belonging to…
This paper analyzes and explicitly solves a class of long-term average impulse control problems with a specific mean-field interaction. The underlying process is a general one-dimensional diffusion with appropriate boundary behavior. The…
This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index futures to simulate this…