Related papers: Asynchronous stochastic price pump
We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms…
An artificial stock market is established based on multi-agent . Each agent has a limit memory of the history of stock price, and will choose an action according to his memory and trading strategy. The trading strategy of each agent evolves…
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate…
In this paper, we present an adaptive investment strategy for environments with periodic returns on investment. In our approach, we consider an investment model where the agent decides at every time step the proportion of wealth to invest…
We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Change of their wealth depends, linearly on…
Random pairwise encounters often occur in large populations, or groups of mobile agents, and various types of local interactions that happen at encounters account for emergent global phenomena. In particular, in the fields of swarm…
This paper outlines an agent-based model of a simple financial market in which a single asset is available for trade by three different types of traders. The model was first introduced in the PhD thesis of one of the authors, see reference…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture,…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
This paper considers the problem of steering the aggregative behavior of a population of noncooperative price-taking agents towards a desired behavior. Different from conventional pricing schemes where the price is fully available for…
In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest…
We propose a frustrated and disordered many-body model of a stockmarket in which independent adaptive traders can trade a stock subject to the economic law of supply and demand. We show that the typical scaling properties and the correlated…
We propose a stochastic model of evolution of wealth in a society of economic agents. In the model, an agent can be in two states: inactive and active. Transitions between the states occur at random time intervals. In the active state, the…
Living systems often function with regulatory interactions, but the question of how activity, stochasticity and regulations work together for achieving different goals still remains puzzling. We propose a stochastic model of an active…
A population of committees of agents that learn by using neural networks is implemented to simulate the stock market. Each committee of agents, which is regarded as a player in a game, is optimised by continually adapting the architecture…
In the present work we introduce a stochastic cellular automata model in order to simulate the dynamics of the stock market. A direct percolation method is used to create a hierarchy of clusters of active traders on a two dimensional grid.…
This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a…
We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest…
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of variance (square of volatility) under fixed…