Related papers: Agent-based Liquidity Risk Modelling for Financial…
Agent Based Modelling (ABM) is a computational framework for simulating the behaviours and interactions of autonomous agents. As Agent Based Models are usually representative of complex systems, obtaining a likelihood function of the model…
This paper is intended to explain, in simple terms, some of the mechanisms and agents common to multiagent financial market simulations. We first discuss the necessity to include an exogenous price time series ("the fundamental value") for…
Housing markets are inherently spatial, yet many existing models fail to capture this spatial dimension. Here we introduce a new graph-based approach for incorporating a spatial component in a large-scale urban housing agent-based model…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus…
Global supply networks in agriculture, manufacturing, and services are a defining feature of the modern world. The efficiency and the distribution of surpluses across different parts of these networks depend on choices of intermediaries.…
Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for…
In decentralized finance ("DeFi"), automated market makers (AMMs) enable traders to programmatically exchange one asset for another. Such trades are enabled by the assets deposited by liquidity providers (LPs). The goal of this paper is to…
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…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
Bilateral markets, such as those for government bonds, involve decentralized and opaque transactions between market makers (MMs) and clients, posing significant challenges for traditional modeling approaches. To address these complexities,…
Most economic theories typically assume that financial market participants are fully rational individuals and use mathematical models to simulate human behavior in financial markets. However, human behavior is often not entirely rational…
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the…
Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time horizon $T$. A trader uses both limit and market orders, and a…
Providing a measure of market risk is an important issue for investors and financial institutions. However, the existing models for this purpose are per definition symmetric. The current paper introduces an asymmetric capital asset pricing…
We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…
In this paper, we outline a framework for modeling utility-based blockchain-enabled economic systems using Agent Based Modeling (ABM). Our approach is to model the supply dynamics based on metrics of the cryptoeconomy. We then build…