Related papers: Model of cunning agents
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
Much research in artificial intelligence is concerned with the development of autonomous agents that can interact effectively with other agents. An important aspect of such agents is the ability to reason about the behaviours of other…
Human decision-making in real-life deviates significantly from the optimal decisions made by fully rational agents, primarily due to computational limitations or psychological biases. While existing studies in behavioral finance have…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
Investors and regulators can greatly benefit from a realistic market simulator that enables them to anticipate the consequences of their decisions in real markets. However, traditional rule-based market simulators often fall short in…
This paper studies a class of consensus dynamics where the interactions between agents are affected by a time-varying unknown scaling factor. This situation is encountered in the control of robotic fleets over a wireless network or in…
This study investigates the prevention of market manipulation using a price-impact model of financial market trading as a linear system. First, I define a trading game between speculators such that they implement a manipulation trading…
This paper is intended to explain, in simple terms, some of the mechanisms and agents common to multiagent financial market simulations. We first discuss the necessity to include an exogenous price time series ("the fundamental value") for…
We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…
Agents are systems that optimize an objective function in an environment. Together, the goal and the environment induce secondary objectives, incentives. Modeling the agent-environment interaction using causal influence diagrams, we can…
We present a novel agent-based approach to simulating an over-the-counter (OTC) financial market in which trades are intermediated solely by market makers and agent visibility is constrained to a network topology. Dynamics, such as changes…
We propose a three-state microscopic opinion formation model for the purpose of simulating the dynamics of financial markets. In order to mimic the heterogeneous composition of the mass of investors in a market, the agent-based model…
Learning and adaptation play great role in emergent socio-economic phenomena. Complex dynamics has been previously found in the systems of multiple learning agents interacting via a simple game. Meanwhile, the single agent adaptation is…
We investigate the mechanisms behind the power-law distribution of stock returns using artificial market simulations. While traditional financial theory assumes Gaussian price fluctuations, empirical studies consistently show that the tails…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
Autonomous and learning agents increasingly participate in markets - setting prices, placing bids, ordering inventory. Such agents are not just aiming to optimize in an uncertain environment; they are making decisions in a game-theoretical…
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…
We describe an agent-based simulation of a fictional (but feasible) information trading business. The Gas Price Information Trader (GPIT) buys information about real-time gas prices in a metropolitan area from drivers and resells the…
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…
We revisit the role of instrumental value as a driver of adaptive behavior. In active inference, instrumental or extrinsic value is quantified by the information-theoretic surprisal of a set of observations measuring the extent to which…