Related papers: Agent-based Liquidity Risk Modelling for Financial…
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented…
In this paper, we deal with the uncertainty of bidding for display advertising. Similar to the financial market trading, real-time bidding (RTB) based display advertising employs an auction mechanism to automate the impression level media…
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of…
The aim of this work is to explore the possible types of phenomena that simple macroeconomic Agent-Based models (ABM) can reproduce. We propose a methodology, inspired by statistical physics, that characterizes a model through its 'phase…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty…
In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquidation problem in a security market. We illustrate how a…
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 chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
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…
This paper introduces a Markov chain approach that allows a rigorous analysis of agent based opinion dynamics as well as other related agent based models (ABM). By viewing the ABM dynamics as a micro description of the process, we show how…
We extend the QLBS model by reformulating via considering a large trader whose transactions leave a permanent impact on the evolution of the exchange rate process and therefore affect the price of contingent claims on such processes.…
In the over-the-counter market in derivatives, we sometimes see large numbers of traders taking the same position and risk. When there is this kind of concentration in the market, the position impacts the pricings of all other derivatives…
Agent-based models (ABMs) simulate complex systems by capturing the bottom-up interactions of individual agents comprising the system. Many complex systems of interest, such as epidemics or financial markets, involve thousands or even…
We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions -- price impact and transaction costs -- lead the agents to…
We present a simple dynamical model for describing trading interactions between agents in a social network by considering only two dynamical variables, namely money and goods or services, that are assumed conserved over the whole time span…
AI agents are increasingly used in consumer-facing applications to assist with tasks such as product search, negotiation, and transaction execution. In this paper, we explore a future scenario where both consumers and merchants authorize AI…
Agent-Based Models (ABMs) are used in several fields to study the evolution of complex systems from micro-level assumptions. However, ABMs typically can not estimate agent-specific (or "micro") variables: this is a major limitation which…
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow…
In financial markets, the information that traders have about an asset is reflected in its price. The arrival of new information then leads to price changes. The `information-based framework' of Brody, Hughston and Macrina (BHM) isolates…