Related papers: Imperfect Oracles: The Effect of Strategic Informa…
Our aim is to design mechanisms that motivate all agents to reveal their predictions truthfully and promptly. For myopic agents, proper scoring rules induce truthfulness. However, as has been described in the literature, when agents take…
The price fluctuations in the financial markets are the result of the individual operations by many individual investors. However for many decades the finacial theory did not use directly this "microscopic representation". The difficulties…
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information…
We study a general class of dynamic multi-agent decision problems with asymmetric information and non-strategic agents, which includes dynamic teams as a special case. When agents are non-strategic, an agent's strategy is known to the other…
Strategic information is valuable either by remaining private (for instance if it is sensitive) or, on the other hand, by being used publicly to increase some utility. These two objectives are antagonistic and leaking this information might…
This paper studies algorithmic decision-making under human's strategic behavior, where a decision maker uses an algorithm to make decisions about human agents, and the latter with information about the algorithm may exert effort…
The marvel of markets lies in the fact that dispersed information is instantaneously processed and used to adjust the price of goods, services and assets. Financial markets are particularly efficient when it comes to processing information;…
Large language models (LLMs) have shown impressive capabilities on numerous natural language processing tasks. However, LLMs still struggle with numerical question answering for financial documents that include tabular and textual data.…
A growing part of the behavioral finance literature has addressed some of the stylized facts of financial time series as macroscopic patterns emerging from herding interactions among groups of agents with heterogeneous trading strategies…
Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We…
We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the…
We investigate the financial market dynamics by introducing a heterogeneous agent-based opinion formation model. In this work, we organize the individuals in a financial market by their trading strategy, namely noise traders and…
We consider a network of interacting agents and we model the process of choice on the adoption of a given innovative product by means of statistical-mechanics tools. The modelization allows us to focus on the effects of direct interactions…
The use of the trading halts is a practice common to all markets. However, the advantages and the disadvantages of the measurements are regularly discussed. The partisans think that the trading suspensions or the price limits make it…
We study a contextual version of the repeated brokerage problem. In each interaction, two traders with private valuations for an item seek to buy or sell based on the learner's-a broker-proposed price, which is informed by some contextual…
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…
Opinion dynamics is nowadays a very common field of research. In this article we formulate and then study a novel, namely strategic perspective on such dynamics: There are the usual normal agents that update their opinions, for instance…
Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates how the strategy evaluation schemes…