Related papers: Systemic-risk and evolutionary stable strategies i…
Cascading failures, such as bankruptcies and defaults, pose a serious threat for the resilience of the global financial system. Indeed, because of the complex investment and cross-holding relations within the system, failures can occur as a…
What does it mean to fully understand the behavior of a network of adaptive agents? The golden standard typically is the behavior of learning dynamics in potential games, where many evolutionary dynamics, e.g., replicator, are known to…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of the…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
We consider a network of coupled agents playing the Prisoner's Dilemma game, in which players are allowed to pick a strategy in the interval [0,1], with 0 corresponding to defection, 1 to cooperation, and intermediate values representing…
Generative and agentic artificial intelligence is entering financial markets faster than existing governance can adapt. Current model-risk frameworks assume static, well-specified algorithms and one-time validations; large language models…
Models of adaptive bet-hedging commonly adopt insights from Kelly's famous work on optimal gambling strategies and the financial value of information. In particular, such models seek evolutionary solutions that maximize long term average…
We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…
In this work we study a weak Prisoner\^as Dilemma game in which both strategies and update rules are subjected to evolutionary pressure. Interactions among agents are specified by complex topologies, and we consider both homogeneous and…
The problem of multi-agent learning and adaptation has attracted a great deal of attention in recent years. It has been suggested that the dynamics of multi agent learning can be studied using replicator equations from population biology.…
We introduce a simple network formation model for social networks. Agents are nodes, connecting to another agent by building a directed edge (or accepting a connection from another agent) has a cost, and reaching (or being reached by) other…
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 discuss a model of an economic community consisting of $N$ interacting agents. The state of each agent at any time is characterized, in general, by a mixed strategy profile drawn from a space of $s$ pure strategies. The community evolves…
In this paper we present a novel algorithm to study the evolution of credit risk across complex multilayer networks. Pagerank-like algorithms allow for the propagation of an influence variable across single networks, and allow quantifying…
The study of evolutionary games with pairwise local interactions has been of interest to many different disciplines. Also local interactions with multiple opponents had been considered, although always for a fixed amount of players. In many…
We consider a dynamic social network model in which agents play repeated games in pairings determined by a stochastically evolving social network. Individual agents begin to interact at random, with the interactions modeled as games. The…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
Traditional evolutionary game theory describes how certain strategy spreads throughout the system where individual player imitates the most successful strategy among its neighborhood. Accordingly, player doesn't have own authority to change…
The complexity of financial markets arise from the strategic interactions among agents trading stocks, which manifest in the form of vibrant correlation patterns among stock prices. Over the past few decades, complex financial markets have…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…