Related papers: Agent-based model of information diffusion in the …
Natural, social, and artificial multi-agent systems usually operate in dynamic environments, where the ability to respond to changing circumstances is a crucial feature. An effective collective response requires suitable information…
While multi-agent interactions can be naturally modeled as a graph, the environment has traditionally been considered as a black box. We propose to create a shared agent-entity graph, where agents and environmental entities form vertices,…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-based prediction market platform which…
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…
Consider a network of agents that all want to guess the correct value of some ground truth state. In a sequential order, each agent makes its decision using a single private signal which has a constant probability of error, as well as…
The analysis of financial markets using models inspired by statistical physics offers a fruitful approach to understand collective and extreme phenomena [3, 14, 15] In this paper, we present a study based on a 2D Ising network model where…
A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…
We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows from market and limit order submissions, aggregated from…
A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social…
We study the dynamics of individual agents in some kinetic models of wealth exchange, particularly, the models with savings. For the model with uniform savings, agents perform simple random walks in the "wealth space". On the other hand, we…
Although most networks in nature exhibit complex topology the origins of such complexity remains unclear. We introduce a model of a growing network of interacting agents in which each new agent's membership to the network is determined by…
We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market…
This work is aimed at studying realistic social control strategies for social networks based on the introduction of random information into the state of selected driver agents. Deliberately exposing selected agents to random information is…
Building on topological data analysis and expert knowledge, this study introduces a Mapper-based approach to cluster agents based on their tendency to be influenced by information spread. The context of our paper is financial markets with…
Systems with long-range interactions often exhibit power-law distributions and can by described by the non-extensive statistical mechanics framework proposed by Tsallis. In this contribution we consider a simple model reproducing continuous…
In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…
The rapidly growing field of network analytics requires data sets for use in evaluation. Real world data often lack truth and simulated data lack narrative fidelity or statistical generality. This paper presents a novel, mixed-membership,…
We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash…
We introduce a method to infer lead-lag networks of agents' actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such systems. We apply this method to trader-resolved data in the…