Related papers: A Macroscopic Portfolio Model: From Rational Agent…
The high-order complexity of human behaviour is likely the root cause of extreme difficulty in financial market projections. We consider that behavioural simulation can unveil systemic dynamics to support analysis. Simulating diverse human…
Individual investors are now massively using online brokers to trade stocks with convenient interfaces and low fees, albeit losing the advice and personalization traditionally provided by full-service brokers. We frame the problem faced by…
The price fluctuations in the financial markets are the result of the individual operations by many individual investors. However for many decades the finacial theory did not use directly this "microscopic representation". The difficulties…
We present an agent-based simulator for economic systems with heterogeneous households, firms, central bank, and government agents. These agents interact to define production, consumption, and monetary flow. Each agent type has distinct…
The use of reinforcement learning algorithms in financial trading is becoming increasingly prevalent. However, the autonomous nature of these algorithms can lead to unexpected outcomes that deviate from traditional game-theoretical…
A quantum financial approach to finite games of strategy is addressed, with an extension of Nash's theorem to the quantum financial setting, allowing for an entanglement of games of strategy with two-period financial allocation problems…
Principal agent games are a growing area of research which focuses on the optimal behaviour of a principal and an agent, with the former contracting work from the latter, in return for providing a monetary award. While this field…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
This paper derives a portfolio decomposition formula when the agent maximizes utility of her wealth at some finite planning horizon. The financial market is complete and consists of multiple risky assets (stocks) plus a risk free asset. The…
We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one probability measure, or class of probability measures, she…
Cooperatively planning for multiple agents has been proposed as a promising method for strategic and motion planning for automated vehicles. By taking into account the intent of every agent, the ego agent can incorporate future interactions…
This paper extends the framework of partially observable Markov decision processes (POMDPs) to multi-agent settings by incorporating the notion of agent models into the state space. Agents maintain beliefs over physical states of the…
In large-scale games, approximating the opponent's strategy space with a small portfolio of representative strategies is a common and powerful technique. However, the construction of these portfolios often relies on domain-specific…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time…
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the…
In mechanism design theory, a designer would like to implement a desired social choice function which specifies her favorite outcome for each possible profile of agents' types. To do so, the designer constructs a mechanism which describes…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
We develop a general game-theoretic framework for reasoning about strategic agents performing possibly costly computation. In this framework, many traditional game-theoretic results (such as the existence of a Nash equilibrium) no longer…