Related papers: Simulation and estimation of an agent-based market…
This paper outlines an agent-based model of a simple financial market in which a single asset is available for trade by three different types of traders. The model was first introduced in the PhD thesis of one of the authors, see reference…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
Traditional notions of production function do not consider the time dimension, appearing thus timeless and instantaneous. We propose an agent-based model accounting for the whole production side of the economy to unfold the production…
Due to the COVID-19 pandemic, the global supply chain is disrupted at an unprecedented scale under uncertain and unknown trends of labor shortage, high material prices, and changing travel or trade regulations. To stay competitive,…
We use a principal-agent model to analyze the structure of a book-driven dealer market when the dealer faces competition from a crossing network or dark pool. The agents are privately informed about their types (e.g. their portfolios),…
In recent years, individual-based/agent-based modeling has been applied to study a wide range of applications, ranging from engineering problems to phenomena in sociology, economics and biology. Simulating such agent-based models over…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
Simulative and scenario-based testing are crucial methods in the safety assurance for automated driving systems. To ensure that simulation results are reliable, the real world must be modeled with sufficient fidelity, including not only the…
Agent-based models (ABMs) are fit to model heterogeneous, interacting systems like financial markets. We present the latest advances in Evology: a heterogeneous, empirically calibrated market ecology agent-based model of the US stock…
Agent-Based Models (ABM) are computational scenario-generators, which can be used to predict the possible future outcomes of the complex system they represent. To better understand the robustness of these predictions, it is necessary to…
Individual traffic significantly contributes to climate change and environmental degradation. Therefore, innovation in sustainable mobility is gaining importance as it helps to reduce environmental pollution. However, effects of new ideas…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…
In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a…
We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based Financial Market (ABFM) that captures much of the complexity present in the US National Market System for equities (NMS). Agent-Based models are a natural…
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…
Testing conversational AI systems at scale across diverse domains necessitates realistic and diverse user interactions capturing a wide array of behavioral patterns. We present a novel multi-agent framework for realistic, explainable human…
Simulation with agent-based models is increasingly used in the study of complex socio-technical systems and in social simulation in general. This paradigm offers a number of attractive features, namely the possibility of modeling emergent…
The dual crises of the sub-prime mortgage crisis and the global financial crisis has prompted a call for explanations of non-equilibrium market dynamics. Recently a promising approach has been the use of agent based models (ABMs) to…
Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for…
We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are…