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We study the collective dynamics of a lattice model of stochastically interacting agents with a weighted field of vision. We assume that agents preferentially interact with neighbours, depending on their relative location, through velocity…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
The paper gives picture of enrichment to economic and financial system analysis using agent-based models as a form of advanced study for financial economic data post-statistical-data analysis and micro-simulation analysis. Theoretical…
When society maintains a competitive system to promote an abstract goal, competition by necessity relies on imperfect proxy measures. For instance profit is used to measure value to consumers, patient volumes to measure hospital…
In this paper we analyze the rural-urban migration phenomena as it is usually observed in economies which are in the early stages of industrialization. The analysis is conducted by means of a statistical mechanics approach which builds a…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
We introduce a lattice model for a static and isotropic system of relativistic fermions. An action principle is formulated, which describes a particle-particle interaction of all fermions. The model is designed specifically for a numerical…
In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…
In this research, the tax evasion percentage, as order parameter, of a system of individuals or agents inscribed in a $N = L \times L$ 2D square grid is computed. The influence of local environment over each agent is quantified both through…
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic models allow a deeper understanding of…
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…
We present a novel model for capturing the behavior of an agent exhibiting sunk-cost bias in a stochastic environment. Agents exhibiting sunk-cost bias take into account the effort they have already spent on an endeavor when they evaluate…
This paper develops a dynamic internal fraud model for operational losses in retail banking. It considers public operational losses arising from internal fraud in retail banking within a group of international banks. Additionally, the model…
Strategic argumentation provides a simple model of disputation and negotiation among agents. Although agents might be expected to act in our best interests, there is little that enforces such behaviour. (Maher, 2016) introduced a model of…
The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evidence suggests that the number and makeup of pertinent…
Consider a typical organization whose worker agents seek to collectively cooperate for its general betterment. However, each individual agent simultaneously seeks to act to secure a larger chunk than its co-workers of the annual increment…
We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network…
A microscopic approach to macroeconomic features is intended. A model for macroeconomic behavior under heterogeneous spatial economic conditions is reviewed. A birth-death lattice gas model taking into account the influence of an economic…
Complex networked systems can be modeled and represented as graphs, with nodes representing the agents and the links describing the dynamic coupling between them. The fundamental objective of network identification for dynamic systems is to…
In this short paper we define the wealth process in a spin model for market microstructure, for individual agents and in aggregate. The agents in our model try to balance their desire to belong to the local majority (herding behavior),…