Related papers: Stylized Facts and Agent-Based Modeling
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
The Minority Game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extend this is a reasonable statement, and present minimal modifications that make this model…
Many complex systems can be modeled as multiagent systems in which the constituent entities (agents) interact with each other. The global dynamics of such a system is determined by the nature of the local interactions among the agents.…
Multi-agent systems offer a new and exciting way of understanding the world of work. We apply agent-based modeling and simulation to investigate a set of problems in a retail context. Specifically, we are working to understand the…
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…
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we…
We introduce a statistical agent based model to describe the phenomenon of drug abuse and its dynamical evolution at the individual and global level. The agents are heterogeneous with respect to their intrinsic inclination to drugs, to…
We propose a Markov jump process with the three-state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description…
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective…
There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
Nowadays, we are surrounded by a large number of complex phenomena ranging from rumor spreading, social norms formation to rise of new economic trends and disruption of traditional businesses. To deal with such phenomena,Complex Adaptive…
Agent-based models are versatile tools for studying how societal opinion change, including political polarization and cultural diffusion, emerges from individual behavior. This study expands agents' psychological realism using…
Agent-Based Models (ABM) are computational scenario-generators, which can be used to predict the possible future outcomes of the complex system they represent. To better understand the robustness of these predictions, it is necessary to…
We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…
In light of the growing interest in agent-based market models, we bring together several earlier works in which we considered the topic of self-consistent market modelling. Building upon the binary game structure of Challet and Zhang, we…
In the paper, the model of the society represented by a social network and the model of a multi-agent system built on the basis of this, is presented. The particular aim of the system is to predict the evolution of a society and an analysis…
Competition between varying ideas, people and institutions fuels the dynamics of socio-economic systems. Numerous analyses of the empirical data extracted from different financial markets have established a consistent set of stylized facts…
Exploring complex adaptive financial trading environments through multi-agent based simulation methods presents an innovative approach within the realm of quantitative finance. Despite the dominance of multi-agent reinforcement learning…
In this paper, our objective is to develop a multi-agent financial system that incorporates simulated trading, a technique extensively utilized by financial professionals. While current LLM-based agent models demonstrate competitive…