Related papers: Manipulation in Prediction Markets: An Agent-based…
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of…
Information is often stored in a distributed and proprietary form, and agents who own information are often self-interested and require incentives to reveal their information. Suitable mechanisms are required to elicit and aggregate such…
The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some…
Online marketplaces will be transformed by autonomous AI agents acting on behalf of consumers. Rather than humans browsing and clicking, AI agents can parse webpages or leverage APIs to view, evaluate and choose products. We investigate the…
Companies like Google and Microsoft run billions of auctions every day to sell advertising opportunities. Any change to the rules of these auctions can have a tremendous effect on the revenue of the company and the welfare of the…
In this paper I empirically investigate prediction markets for binary options. Advocates of prediction markets have suggested that asset prices are consistent estimators of the "true" probability of a state of the world being realized. I…
Accurately forecasting central bank policy decisions, particularly those of the Federal Open Market Committee(FOMC) has become increasingly important amid heightened economic uncertainty. While prior studies have used monetary policy texts…
In distributed processing, agents generally collect data generated by the same underlying unknown model (represented by a vector of parameters) and then solve an estimation or inference task cooperatively. In this paper, we consider the…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
As algorithms increasingly mediate competitive decision-making, their influence extends beyond individual outcomes to shaping strategic market dynamics. In two preregistered experiments, we examined how algorithmic advice affects human…
We develop inference for a two-sided matching model where the characteristics of agents on one side of the market are endogenous due to pre-matching investments. The model can be used to measure the impact of frictions in labour markets…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
We present a perturbation theory of the market impact based on an extension of the framework proposed by [Loeper, 2018] -- originally based on [Liu and Yong, 2005] -- in which we consider only local linear market impact. We study the…
This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which…
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
In this work an opinion formation model with heterogeneous agents is proposed. Each agent is supposed to have different power of persuasion, and besides its own level of zealotry, that is, an individual willingness to being convinced by…
An individual's opinion concerning political bias in the media is shaped by exogenous factors (independent analysis of media outputs) and endogenous factors (social activity, e.g. peer pressure by political allies and opponents in a…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
I describe the rationale for, and design of, an agent-based simulation model of a contemporary online sports-betting exchange: such exchanges, closely related to the exchange mechanisms at the heart of major financial markets, have…
As artificial agents become increasingly capable, what internal structure is *necessary* for an agent to act competently under uncertainty? Classical results show that optimal control can be *implemented* using belief states or world…