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This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market…
The exploration of high-speed movement by robots or road traffic agents is crucial for autonomous driving and navigation. Trajectory prediction at high speeds requires considering historical features and interactions with surrounding…
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case…
The primary objective of this paper is to conceive and develop a new methodology to detect notable changes in liquidity within an order-driven market. We study a market liquidity model which allows us to dynamically quantify the level of…
We propose a simple model that describes the dynamics of efficiencies of competing agents. Agents communicate leading to increase of efficiencies of underachievers, and an efficiency of each agent can increase or decrease irrespectively of…
Hawkes processes are a class of self-exciting point processes that are used to model complex phenomena. While most applications of Hawkes processes assume that event data occurs in continuous-time, the less-studied discrete-time version of…
Link prediction models are increasingly used to recommend interactions in evolving networks, yet their impact on network structure is typically assessed from static snapshots. In particular, observed homophily conflates intrinsic…
Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…
We investigate the financial market dynamics by introducing a heterogeneous agent-based opinion formation model. In this work, we organize the individuals in a financial market by their trading strategy, namely noise traders and…
Hawkes Processes are a type of point process which models self-excitement among time events. It has been used in a myriad of applications, ranging from finance and earthquakes to crime rates and social network activity analysis.Recently, a…
The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the effect of heterogeneity in the behavior of systemic risk in…
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short…
We consider a network of agents. Associated with each agent are her covariate and outcome. Agents influence each other's outcomes according to a certain connection/influence structure. A subset of the agents participate on a platform, and…
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…
The process algebra HYPE was recently proposed as a fine-grained modelling approach for capturing the behaviour of hybrid systems. In the original proposal, each flow or influence affecting a variable is modelled separately and the overall…
As a tool for capturing irregular temporal dependencies (rather than resorting to binning temporal observations to construct time series), Hawkes processes with exponential decay have seen widespread adoption across many application…
In the complex landscape of traditional futures trading, where vast data and variables like real-time Limit Order Books (LOB) complicate price predictions, we introduce the FutureQuant Transformer model, leveraging attention mechanisms to…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
Across a wide variety of applications, the self-exciting Hawkes process has been used to model phenomena in which the history of events influences future occurrences. However, there may be many situations in which the past events only…
We consider a sequence of systems of Hawkes processes having mean field interactions in a diffusive regime. The stochastic intensity of each process is a solution of a stochastic differential equation driven by N independent Poisson random…