Related papers: A multi-asset, agent-based approach applied to DeF…
We describe a bottom-up framework, based on the identification of appropriate order parameters and determination of phase diagrams, for understanding progressively refined agent-based models and simulations of financial markets. We…
Decentralized finance (DeFi) protocols are crypto projects developed on the blockchain to manage digital assets. Attacks on DeFi have been frequent and have resulted in losses exceeding $80 billion. Current tools detect and locate possible…
In many real-world multi-agent cooperative tasks, due to high cost and risk, agents cannot continuously interact with the environment and collect experiences during learning, but have to learn from offline datasets. However, the transition…
We present a novel agent-based approach to simulating an over-the-counter (OTC) financial market in which trades are intermediated solely by market makers and agent visibility is constrained to a network topology. Dynamics, such as changes…
This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index futures to simulate this…
In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable financial system have…
We present an agent based model of a single asset financial market that is capable of replicating several non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. While previous…
An increasing number of emerging applications, e.g., internet of things, vehicular communications, augmented reality, and the growing complexity due to the interoperability requirements of these systems, lead to the need to change the tools…
We derive five tractable credit risk metrics for DeFi lending vault depositors, grounded in a formal three level decomposition of vault risk into mechanical loss channels (Level 1), governance quality (Level 2) and smart contract code…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem…
Liquidation is the process of selling a large number of shares of one stock sequentially within a given time frame, taking into consideration the costs arising from market impact and a trader's risk aversion. The main challenge in…
A market of potato commodity for industry scale usage is engaging several types of actors. They are farmers, middlemen, and industries. A multi-agent system has been built to simulate these actors into agent entities, based on manually…
From software development to robot control, modern agentic systems decompose complex objectives into a sequence of subtasks and choose a set of specialized AI agents to complete them. We formalize agentic workflows as directed acyclic…
This study addresses the low-volatility Chinese Public Real Estate Investment Trusts (REITs) market, proposing a large language model (LLM)-driven trading framework based on multi-agent collaboration. The system constructs four types of…
Riots originating during, or in the aftermath of, sports events can incur significant costs in damages, as well as large-scale panic and injuries. A mathematical description of sports riots is therefore sought to better understand their…
Decentralized Finance (DeFi) lending enables permissionless borrowing via smart contracts. However, it faces challenges in optimizing interest rates, mitigating bad debt, and improving capital efficiency. Rule-based interest-rate models…
Foundation model (FM) powered agent services are regarded as a promising solution to develop intelligent and personalized applications for advancing toward Artificial General Intelligence (AGI). To achieve high reliability and scalability…
As Industry 4.0 and the Industrial Internet of Things continue to advance, industrial control systems are increasingly adopting IT solutions, including communication standards and protocols. As these systems become more decentralized and…
Significant progress has been made in automated problem-solving using societies of agents powered by large language models (LLMs). In finance, efforts have largely focused on single-agent systems handling specific tasks or multi-agent…