Related papers: Exploring Narrative Economics: An Agent-Based-Mode…
This study investigates the relationship between narratives conveyed through microblogging platforms, namely Twitter, and the value of crypto assets. Our study provides a unique technique to build narratives about cryptocurrency by…
We present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamics and the statistical properties of financial markets beyond…
This paper presents the application of Tokenlab, an agent-based modeling framework designed to analyze price dynamics and speculative behavior within token-based economies. By decomposing complex token systems into discrete agent…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
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 present our approach to the problem of how an agent, within an economic Multi-Agent System, can determine when it should behave strategically (i.e. learn and use models of other agents), and when it should act as a simple price-taker. We…
We present the LLM Economist, a novel framework that uses agent-based modeling to design and assess economic policies in strategic environments with hierarchical decision-making. At the lower level, bounded rational worker agents --…
Large language models (LLMs) have demonstrated remarkable capabilities in natural language tasks, yet their performance in dynamic, real-world financial environments remains underexplored. Existing approaches are limited to historical…
The 2015 Nobel Prize in Economic Sciences was awarded to Eugene Fama, Lars Peter Hansen and Robert Shiller for their contributions to the empirical analysis of asset prices. Eugene Fama [1] is an advocate of the efficient market hypothesis.…
When exploring data, analysts construct narratives about what the data means by asking questions, generating visualizations, reflecting on patterns, and revising their interpretations as new insights emerge. Yet existing analysis tools…
I introduce an agent-based model of a Perpetual Futures market with heterogeneous agents trading via a central limit order book. Perpetual Futures (henceforth Perps) are financial derivatives introduced by the economist Robert Shiller,…
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…
Economic behavior is shaped not only by quantitative information but also by the narratives through which such information is communicated and interpreted (Shiller, 2017). I show that narratives extracted from earnings calls significantly…
Prediction markets mobilize financial incentives to forecast binary event outcomes through the aggregation of dispersed beliefs and heterogeneous information. Their growing popularity and demonstrated predictive accuracy in political…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
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…
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…
This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which…
The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…
Cryptocurrency markets present unique prediction challenges due to their extreme volatility, 24/7 operation, and hypersensitivity to news events, with existing approaches suffering from key information extraction and poor sideways market…