Related papers: Stylized Facts and Agent-Based Modeling
Traditional notions of production function do not consider the time dimension, appearing thus timeless and instantaneous. We propose an agent-based model accounting for the whole production side of the economy to unfold the production…
This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based financial market simulator that generates realistic…
Generative and agentic artificial intelligence is entering financial markets faster than existing governance can adapt. Current model-risk frameworks assume static, well-specified algorithms and one-time validations; large language models…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Recent work has shown how predictive modeling can endow agents with rich knowledge of their surroundings, improving their ability to act in complex environments. We propose question-answering as a general paradigm to decode and understand…
This paper presents our methodology to simulate the behavior of the DeLend Platform. Such simulations are important to verify if the system is able to connect the different sets of agents linked to the platform in a functional manner. They…
Bias exists in how we pick leaders, who we perceive as being influential, and who we interact with, not only in society, but in organizational contexts. Drawing from leadership emergence and social influence theories, we investigate…
When creating (open) agent systems it has become common practice to use social concepts such as social practices, norms and conventions to model the way the interactions between the agents are regulated. However, in the literature most…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
Computer modeling and simulation is used to analyze system behavior and evaluate strategies for operating in descriptive or predictive modes. In this part of the book, modeling and simulation approaches that have been proposed since the…
We study the dynamics of individual agents in some kinetic models of wealth exchange, particularly, the models with savings. For the model with uniform savings, agents perform simple random walks in the "wealth space". On the other hand, we…
Agent-based modelling is a valuable approach for systems whose behaviour is driven by the interactions between distinct entities. They have shown particular promise as a means of modelling crowds of people in streets, public transport…
We discuss several multi-agent models that have their origin in the kinetic exchange theory of statistical mechanics and have been recently applied to a variety of problems in the social sciences. This class of models can be easily adapted…
This paper reports the effort of using agent-based mix-game model to predict financial time series. It introduces simple generic algorithm into the prediction methodology, and gives an example of its application to forecasting Shanghai…
Agent-based modelling is a powerful tool when simulating human systems, yet when human behaviour cannot be described by simple rules or maximising one's own profit, we quickly reach the limits of this methodology. Machine learning has the…
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…
We discuss recent work in the study of a simple model for the collective behaviour of diverse speculative agents in an idealized stockmarket, considered from the perspective of the statistical physics of many-body systems. The only…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
We apply a physical based model to describe the clothes fashion market. Every time a new outlet appears on the market, it can invade the market under certain specific conditions. Hence, the "old'' outlet can be completely dominated and…