Related papers: Agent-based model of information diffusion in the …
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market.…
In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset…
Multi-agent market simulators usually require careful calibration to emulate real markets, which includes the number and the type of agents. Poorly calibrated simulators can lead to misleading conclusions, potentially causing severe loss…
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…
This paper proposes a methodology to empirically validate an agent-based model (ABM) that generates artificial financial time series data comparable with real-world financial data. The approach is based on comparing the results of the ABM…
Complex systems often exhibit highly structured network topologies that reflect functional constraints. In this work, we investigate how, under varying combinations of system-wide selection rules and special agents, different classes of…
This paper introduces a model of self-organization between communication and topology in social networks, with a feedback between different communication habits and the topology. To study this feedback, we let agents communicate to build a…
Adaptive networks consist of a collection of agents with adaptation and learning abilities. The agents interact with each other on a local level and diffuse information across the network through their collaborations. In this work, we…
We consider the problem of distributed inference where agents in a network observe a stream of private signals generated by an unknown state, and aim to uniquely identify this state from a finite set of hypotheses. We focus on scenarios…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…
This paper investigates multi-agent frequencybased patrolling of intersecting, circle graphs under conditions where graph nodes have non-uniform visitation requirements and agents have limited ability to communicate. The task is modeled as…
We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize…
The adaptive social learning paradigm helps model how networked agents are able to form opinions on a state of nature and track its drifts in a changing environment. In this framework, the agents repeatedly update their beliefs based on…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
Modern financial exchanges use an electronic limit order book (LOB) to store bid and ask orders for a specific financial asset. As the most fine-grained information depicting the demand and supply of an asset, LOB data is essential in…
We present an agent-based model of microscopic wealth exchange in a dynamic network to study the topological features associated with economic inequality. The model evolves through two alternating processes, the conservative exchange of…
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,…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…