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Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive a necessary and sufficient condition for the existence of (possibly zero-sum) exchanges among…
We study the role of imitation within a model of economics with adaptive agents. The basic ingredients are those of the Minority Game. We add the possibility of local information exchange and imitation of the neighbour's strategy. Imitators…
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 short review presents a selected history of the mutual fertilization between physics and economics, from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives embraced in theories developed in financial…
One of the important yet insufficiently studied subjects in fair allocation is the externality effect among agents. For a resource allocation problem, externalities imply that a bundle allocated to an agent may affect the utilities of other…
We present an extensive study of the joint effects of heterogeneous social agents and their heterogeneous social links in a bounded confidence opinion dynamics model. The full phase diagram of the model is explored for two different…
A simple Ising spin model which can describe the mechanism of price formation in financial markets is proposed. In contrast to other agent-based models, the influence does not flow inward from the surrounding neighbors to the center site,…
We consider a model of socially interacting individuals that make a binary choice in a context of positive additive endogenous externalities. It encompasses as particular cases several models from the sociology and economics literature. We…
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…
We review the agent-based models (ABM) on social physics including econophysics. The ABM consists of agent, system space, and external environment. The agent is autonomous and decides his/her behavior by interacting with the neighbors or…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
Competition is a main tenet of economics, and the reason is that a perfectly competitive equilibrium is Pareto-efficient in the absence of externalities and public goods. Whether a product is selected in a market crucially relates to its…
Interference between treated and untreated units is a source of bias in marketplace experiments. In this paper, we specifically consider pricing interventions, in which a platform seeks to adjust base pricing levels at the marketplace level…
We study the role of imitation within the Minority Game model of market. The players can exchange information locally, which leads to formation of groups which act as if they were single players. Coherent spatial areas of rich and poor…
Coupled Ising models are studied in a discrete choice theory framework, where they can be understood to represent interdependent choice making processes for homogeneous populations under social influence. Two different coupling schemes are…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
We study a repeated trading problem in which a mechanism designer facilitates trade between a single seller and multiple buyers. Our model generalizes the classic bilateral trade setting to a multi-buyer environment. Specifically, the…
We present a model of interpersonal comparisons appearing as a generalization of a multi-state model for elements with internal bias. Within this model agents suffering under dissatisfaction compare them with their neighbors. The internal…
In mainstream neoclassical economics, utility maximization is the only engine of individual action, and the other or the social, if it is modeled for decisions deemed fundamental, it is done as a tacit externality parameter affecting an…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…