Related papers: Development of an agent-based speculation game for…

It is now well known that decentralised optimisation can be formulated as a potential game, and game-theoretical learning algorithms can be used to find an optimum. One of the most common learning techniques in game theory is fictitious…

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…

Economies and societal structures in general are complex stochastic systems which may not lend themselves well to algebraic analysis. An addition of subjective value criteria to the mechanics of interacting agents will further complicate…

We advocate the development of a discipline of interacting with and extracting information from models, both mathematical (e.g. game-theoretic ones) and computational (e.g. agent-based models). We outline some directions for the development…

Using the Minority Game model we study a broad spectrum of problems of market mechanism. We study the role of different types of agents: producers, speculators as well as noise traders. The central issue here is the information flow :…

Despite increasing attention paid to the need for fast, scalable methods to analyze next-generation neuroscience data, comparatively little attention has been paid to the development of similar methods for behavioral analysis. Just as the…

We derive a system of stochastic differential equations simulating the dynamics of the three agent groups with herding interaction. Proposed approach can be valuable in the modeling of the complex socio-economic systems with similar…

Automated decision-making tools increasingly assess individuals to determine if they qualify for high-stakes opportunities. A recent line of research investigates how strategic agents may respond to such scoring tools to receive favorable…

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…

We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…

New continuous and stochastic extensions of the minority game, devised as a fundamental model for a market of competitive agents, are introduced and studied in the context of statistical physics. The new formulation reproduces the key…

A brief review is given of the minority game, an idealized model of a market of speculative agents, and its complex many-body behaviour. Particular consideration is given to the consequences and implications of correlations between…

Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…

We propose a new variant of the strategic classification problem: a principal reveals a classifier, and $n$ agents report their (possibly manipulated) features to be classified. Motivated by real-world applications, our model crucially…

We propose a new model of minority game with so-called smart agents such that the standard deviation and the total loss in this model reach the theoretical minimum values in the limit of long time. The smart agents use trail and error…

Stock correlations is crucial to asset pricing, investor decision-making, and financial risk regulations. However, microscopic explanation based on agent-based modeling is still lacking. We here propose a model derived from minority game…

Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…

We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…

In imperfect-information games, agents must make decisions based on partial knowledge of the game state. The Belief Stochastic Game model addresses this challenge by delegating state estimation to the game model itself. This allows agents…

We analyze grand-canonical minority games with infinite and finite score memory and different updating timescales (from `on-line' games to `batch' games) in detail with various complementary methods, both analytical and numerical. We focus…