Related papers: Simulation and estimation of an agent-based market…

We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…

This research investigates liquidity dynamics in fractional ownership markets, focusing on illiquid alternative investments traded on a FinTech platform. By leveraging empirical data and employing agent-based modeling (ABM), the study…

We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model…

We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…

We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash…

The integration of multiple viewpoints became an increasingly popular approach to deal with agent-based simulations. Despite their disparities, recent approaches successfully manage to run such multi-level simulations. Yet, are they doing…

An agent-based model of the economy is generalized to incorporate investment and guaranteed income mechanisms in addition to the exchange and distribution mechanisms considered in earlier models. We find realistic wealth distributions and…

Quantitative finance has had a long tradition of a bottom-up approach to complex systems inference via multi-agent systems (MAS). These statistical tools are based on modelling agents trading via a centralised order book, in order to…

We present a novel model to simulate real social networks of complex interactions, based in a granular system of colliding particles (agents). The network is build by keeping track of the collisions and evolves in time with correlations…

Current validation methods often rely on recorded data and basic functional checks, which may not be sufficient to encompass the scenarios an autonomous vehicle might encounter. In addition, there is a growing need for complex scenarios…

Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…

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…

In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…

The high-order complexity of human behaviour is likely the root cause of extreme difficulty in financial market projections. We consider that behavioural simulation can unveil systemic dynamics to support analysis. Simulating diverse human…

In our research we investigate the output accuracy of discrete event simulation models and agent based simulation models when studying human centric complex systems. In this paper we focus on human reactive behaviour as it is possible in…

Tradable credit schemes (TCS) have been attracting interest from the transportation research community as an appealing alternative to congestion pricing, due to the advantages of revenue neutrality and equity. Nonetheless, existing research…

Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-based prediction market platform which…

While Agent-Based Models can create detailed artificial societies based on individual differences and local context, they can be computationally intensive. Modelers may offset these costs through a parsimonious use of the model, for example…

This paper describes an agent-based model of interacting firms, in which interacting firm agents rationally invest capital and labor in order to maximize payoff. Both transactions and production are taken into account in this model. First,…

The \$-Game was recently introduced as an extension of the Minority Game. In this paper we compare this model with the well know Minority Game and the Majority Game models. Due to the inter-temporal nature of the market payoff, we introduce…