Related papers: Optimal risk in wealth exchange models: agent dyna…

Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…

In this paper, we investigate the economic mobility in some money transfer models which have been applied into the research on wealth distribution. We demonstrate the mobility by recording the time series of agents' ranks and observing…

This article proposes a fundamental methodological shift in the modelling of policy interventions for sustainability transitions in order to account for complexity (e.g. self-reinforcing mechanism arising from multi-agent interactions) and…

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…

In this paper, we analyze the behavior of a multi-agent system driven by the interactions of agents within a competitive environment. To achieve this, we describe the transition probabilities that underlie the system's stochastic nature. We…

In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The investment decision of investors,…

Methods for learning optimal policies in autonomous agents often assume that the way the domain is conceptualised---its possible states and actions and their causal structure---is known in advance and does not change during learning. This…

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…

We develop a model for the evolution of wealth in a non-conservative economic environment, extending a theory developed earlier by the authors. The model considers a system of rational agents interacting in a game theoretical framework.…

We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She…

In this article we consider a special case of an optimal consumption/optimal portfolio problem first studied by Constantinides and Magill and by Davis and Norman, in which an agent with constant relative risk aversion seeks to maximise…

We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…

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…

The paper presents a multi-resource load balancing strategy which can be utilised within an agent-based system. This approach can assist system designers in their attempts to optimise the structure for complex enterprise architectures. In…

We propose a kinetic model to describe the dynamical evolution of wealth and knowledge in national and global markets, starting from a microscopic description of individual interactions. The model is built upon interaction rules that…

We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to…

The conservative wealth-exchange process derived from trade interactions is modeled as a multiplicative stochastic transference of value, where each interaction multiplies the wealth of the poorest of the two intervening agents by a random…

In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…

Consider a barter exchange problem over a finite set of agents, where each agent owns an item and is also associated with a (privately known) wish list of items belonging to the other agents. An outcome of the problem is a (re)allocation of…

In capitalist societies, only a single right can be fully exerted without constraints of any kind: the limitless accumulation of wealth. Such imperative or prime axiom is the ultimate cause of the raising waves of inequalities observed…