Related papers: Explaining Agent-Based Financial Market Simulation

Multi-agent systems have demonstrated the ability to improve performance on a variety of predictive tasks by leveraging collaborative decision making. However, the lack of effective evaluation methodologies has made it difficult to estimate…

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 :…

Agents interacting with an incompletely known world need to be able to reason about the effects of their actions, and to gain further information about that world they need to use sensors of some sort. Unfortunately, both the effects of…

We introduce ABIDES, an Agent-Based Interactive Discrete Event Simulation environment. ABIDES is designed from the ground up to support AI agent research in market applications. While simulations are certainly available within trading firms…

We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces…

This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…

A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour…

We consider a model of a data broker selling information to a single agent to maximize his revenue. The agent has a private valuation of the additional information, and upon receiving the signal from the data broker, the agent can conduct…

Leading agent-based trust models address two important needs. First, they show how an agent may estimate the trustworthiness of another agent based on prior interactions. Second, they show how agents may share their knowledge in order to…

In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…

We consider the dynamics and the interactions of multiple reinforcement learning optimal execution trading agents interacting with a reactive Agent-Based Model (ABM) of a financial market in event time. The model represents a market ecology…

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…

The financial market is a mission-critical playground for AI agents due to its temporal dynamics and low signal-to-noise ratio. Building an effective algorithmic trading system may require a professional team to develop and test over the…

Agent-based social simulation provides a valuable methodology for predicting social information diffusion, yet existing approaches face two primary limitations. Traditional agent models often rely on rigid behavioral rules and lack semantic…

Results in the Heterogeneous Agent Model (HAM) literature determine the proportion of fundamentalists and trend followers in the financial market. This proportion varies according to the periods analyzed. In this paper, we use a large…

The main objective of this paper is to provide an optimized solution and algorithm for the execution of a workflow process by ensuring the data consistency, correctness, completeness among various tasks involved. The solution proposed…

We consider the fundamental scenario where a single item is to be sold to one of two agents. Both agents draw their valuation for the item from the same probability distribution. However, only one of them submits a bid to the mechanism. The…

Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of…

We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…

The institution of money can be seen as a foundational social mechanism, enabling communities to quantify collectively regulate economic processes. Money can be said, indeed, to constitute the micro-macro link in economics. This paper…