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Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a multi-agent simulation of a dealer…
We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agent-based model that describes the present state of the investors' beliefs,…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
Rising inequalities around the globe bring into question our economic systems and the origin of such inequalities. Here we propose a toy agent-based model where each entity is simultaneously producing and consuming indivisible goods. We…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
Matching algorithms have demonstrated great success in several practical applications, but they often require centralized coordination and plentiful information. In many modern online marketplaces, agents must independently seek out and…
We study systems of interacting reinforced stochastic processes, where agents' decisions evolve under reinforcement, network-mediated interactions, and environmental influences. In competitive environments with irreducible networks, we…
The housing market, also known as one-sided matching market, is a classic exchange economy model where each agent on the demand side initially owns an indivisible good (a house) and has a personal preference over all goods. The goal is to…
Two-sided matching markets, environments in which two disjoint groups of agents seek to partner with one another, arise in several contexts. In static, centralized markets where agents know their preferences, standard algorithms can yield a…
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…
The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive…
Some of the most relevant future applications of multi-agent systems like autonomous driving or factories as a service display mixed-motive scenarios, where agents might have conflicting goals. In these settings agents are likely to learn…
Online platforms in the Internet Economy commonly incorporate recommender systems that recommend products (or "arms") to users (or "agents"). A key challenge in this domain arises from myopic agents who are naturally incentivized to exploit…
An artificial stock market is established based on multi-agent . Each agent has a limit memory of the history of stock price, and will choose an action according to his memory and trading strategy. The trading strategy of each agent evolves…
A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply,…
We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discrete-time framework is determined by temporary equilibria via…
Repeated games have a long tradition in the behavioral sciences and evolutionary biology. Recently, strategies were discovered that permit an unprecedented level of control over repeated interactions by enabling a player to unilaterally…
This paper explores the economic interactions within modern crowdsourcing markets. In these markets, employers issue requests for tasks, platforms facilitate the recruitment of crowd workers, and workers complete tasks for monetary rewards.…
We introduce a framework to study the effective objectives at different time scales of financial market microstructure. The financial market can be regarded as a complex adaptive system, where purposeful agents collectively and…
We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…