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

We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…

We present an agent behavior based microscopic model for diffusion price processes. As such we provide a model not only containing a convenient framework for describing socio-economic behavior, but also a sophisticated link to price…

Interest in agent-based models of financial markets and the wider economy has increased consistently over the last few decades, in no small part due to their ability to reproduce a number of empirically-observed stylised facts that are not…

Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…

We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…

There is a growing demand for agentic AI technologies for a range of downstream applications like customer service and personal assistants. For applications where the agent needs to interact with a person, real-time low-latency…

The paper proposes a computational adaptation of the principles underlying principal component analysis with agent based simulation in order to produce a novel modeling methodology for financial time series and financial markets. Goal of…

Agent Based Modelling (ABM) is a computational framework for simulating the behaviours and interactions of autonomous agents. As Agent Based Models are usually representative of complex systems, obtaining a likelihood function of the model…

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…

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…

A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply,…

The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive…

In this paper we present a computational modeling account of an active self in artificial agents. In particular we focus on how an agent can be equipped with a sense of control and how it arises in autonomous situated action and, in turn,…

The steady-state and nonequilibrium properties of the model of environmental-economic interactions are studied. The interacting heterogeneous agents are simulated on the platform of the emission dynamics of cellular automaton. The model…

The design of agent-based models (ABMs) is often ad-hoc when it comes to defining their scope. In order for the inclusion of features such as network structure, location, or dynamic change to be justified, their role in a model should be…

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 complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet…

Agent-based modelling is a powerful tool when simulating human systems, yet when human behaviour cannot be described by simple rules or maximising one's own profit, we quickly reach the limits of this methodology. Machine learning has the…

Modern information access ecosystems consist of mixtures of systems, such as retrieval systems and large language models, and increasingly rely on marketplaces to mediate access to models, tools, and data, making competition between systems…

Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…