Related papers: A Network Simulation of OTC Markets with Multiple …
This paper presents a realistic simulated stock market where large language models (LLMs) act as heterogeneous competing trading agents. The open-source framework incorporates a persistent order book with market and limit orders, partial…
We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such 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…
Cross-group externalities and network effects in two-sided platform markets shape market structure and competition policy, and are the subject of extensive study. Less understood are the within-group externalities that arise when the…
This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based financial market simulator that generates realistic…
Deep generative models are becoming increasingly used as tools for financial analysis. However, it is unclear how these models will influence financial markets, especially when they infer financial value in a semi-autonomous way. In this…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
The combination of the network theoretic approach with recently available abundant economic data leads to the development of novel analytic and computational tools for modelling and forecasting key economic indicators. The main idea is to…
Recent technological developments have changed the fundamental ways stock markets function, bringing regulatory instances to assess the benefits of these developments. In parallel, the ongoing machine learning revolution and its multiple…
The real world is awash with multi-agent problems that require collective action by self-interested agents, from the routing of packets across a computer network to the management of irrigation systems. Such systems have local incentives…
As LLM agents advance, they are increasingly mediating economic decisions, ranging from product discovery to transactions, on behalf of users. Such applications promise benefits but also raise many questions about agent accountability and…
The online advertising market, with its thousands of auctions run per second, presents a daunting challenge for advertisers who wish to optimize their spend under a budget constraint. Thus, advertising platforms typically provide automated…
Human societies engage in a number of games which use tokens as a means to allocate, issue and access gated resources and property rights: The notion of exchanging tokens that represent and carry value from the past into the future to…
We propose and study the integration of sentiment analysis and deep reinforcement learning ensemble algorithms for stock trading by evaluating strategies capable of dynamically altering their active agent given the concurrent market…
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…
We study decentralized markets with the presence of middlemen, modeled by a non-cooperative bargaining game in trading networks. Our goal is to investigate how the network structure of the market and the role of middlemen influence 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…
Order book imbalance (OBI) - buy orders minus sell orders near the best quote - measures supply-demand imbalance that can move prices. OBI is positively correlated with returns, and some investors try to use it to improve performance. Large…
Simulated environments are increasingly used by trading firms and investment banks to evaluate trading strategies before approaching real markets. Backtesting, a widely used approach, consists of simulating experimental strategies while…