Related papers: A multi-asset, agent-based approach applied to DeF…
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…
We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem through the lens of continuous-time financial mathematics and…
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…
Recent advances in AI are transforming AI's ubiquitous presence in our world from that of standalone AI-applications into deeply integrated AI-agents. These changes have been driven by agents' increasing capability to autonomously make…
Financial markets are undergoing an unprecedented transformation. Technological advances have brought major improvements to the operations of financial services. While these advances promote improved accessibility and convenience,…
Decentralized exchanges (DEXs) are crucial to decentralized finance (DeFi) as they enable trading without intermediaries. However, they face challenges like impermanent loss (IL), where liquidity providers (LPs) see their assets' value…
The meteoric rise of Decentralized Finance (DeFi) has been accompanied by a plethora of frequent and often financially devastating attacks on its protocols There have been over 70 exploits of DeFi protocols, with the total of lost funds…
Automated Market Makers (AMMs) have cemented themselves as an integral part of the decentralized finance (DeFi) space. AMMs are a type of exchange that allows users to trade assets without the need for a centralized exchange. They form the…
In multi-agent reinforcement learning systems, the actions of one agent can have a negative impact on the rewards of other agents. One way to combat this problem is to let agents trade their rewards amongst each other. Motivated by this,…
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…
Simulating consumer decision-making is vital for designing and evaluating marketing strategies before costly real-world deployment. However, post-event analyses and rule-based agent-based models (ABMs) struggle to capture the complexity of…
The study proposes a quote-driven predictive automated market maker (AMM) platform with on-chain custody and settlement functions, alongside off-chain predictive reinforcement learning capabilities to improve liquidity provision of…
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…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
Organisations are starting to adopt LLM-based AI agents, with their deployments naturally evolving from single agents towards interconnected, multi-agent networks. Yet a collection of safe agents does not guarantee a safe collection of…
Lending within decentralized finance (DeFi) has facilitated over \$100 billion of loans since 2020. A long-standing inefficiency in DeFi lending protocols such as Aave is the use of static pricing mechanisms for loans. These mechanisms have…
We present a novel mathematical framework for the specification and analysis of fault-resilient distributed protocols and their implementations, with the following components: 1. Transition systems that allow the specification and analysis…
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…