Related papers: Friddy multiagent price stabilization model
Trades based on bilateral (indivisible) contracts can be represented by a network. Vertices correspond to agents while arcs represent the non-price elements of a bilateral contract. Given prices for each arc, agents choose the incident arcs…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
In multi-agent reinforcement learning systems, the actions of one agent can have a negative impact on the rewards of other agents. One way to combat this problem is to let agents trade their rewards amongst each other. Motivated by this,…
We consider control strategies for large-scale interacting agent systems under uncertainty. The particular focus is on the design of robust controls that allow to bound the variance of the controlled system over time. To this end we…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
As automated trading gains traction in the financial market, algorithmic investment strategies are increasingly prominent. While Large Language Models (LLMs) and Agent-based models exhibit promising potential in real-time market analysis…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
We design a fixed-price auction mechanism for a seller to sell multiple items in a tree-structured market. The buyers have independently drawn valuation from a uniform distribution, and the seller would like to incentivize buyers to invite…
We consider a market where many agents trade many different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about…
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…
In this paper, from the structural perspective, we propose a new stability analysis approach for the consensus of linear multi-agent systems. Different from the general tools: the Laplacian matrix based method and the Lyapunov's method,…
This paper explores neural network-based approaches for algorithmic trading in cryptocurrency markets. Our approach combines multi-timeframe trend analysis with high-frequency direction prediction networks, achieving positive risk-adjusted…
We discuss a method for predicting financial movements and finding pockets of predictability in the price-series, which is built around inferring the heterogeneity of trading strategies in a multi-agent trader population. This work explores…
Generalization of the minority game to more than one market is considered. At each time step every agent chooses one of its strategies and acts on the market related to this strategy. If the payoff function allows for strong fluctuation of…
We present a simple, yet realistic, agent-based model of an electricity market. The proposed model combines the spot and balancing markets with a resolution of one minute, which enables a more accurate depiction of the physical properties…
Motivated by applications such as online labor markets we consider a variant of the stochastic multi-armed bandit problem where we have a collection of arms representing strategic agents with different performance characteristics. The…
The emergence of new communication technologies allows us to expand our understanding of distributed control and consider collaborative decision-making paradigms. With collaborative algorithms, certain local decision-making entities (or…
In the past, financial stock markets have been studied with previous generations of multi-agent systems (MAS) that relied on zero-intelligence agents, and often the necessity to implement so-called noise traders to sub-optimally emulate…