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Statistical properties of order-driven double-auction markets with Bid-Ask spread are investigated through the dynamical quantities such as response function. We first attempt to utilize the so-called {\it Madhavan-Richardson-Roomans model}…
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…
In the Minority, Majority and Dollar Games (MG, MAJG, $G), synthetic agents compete for rewards, at each time-step acting in accord with the previously best-performing of their limited sets of strategies. Different components and/or aspects…
This paper presents a computational evolutionary game model to study and understand fraud dynamics in the consumption tax system. Players are cooperators if they correctly declare their value added tax (VAT), and are defectors otherwise.…
We consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show…
In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game and a Grand Canonical Minority Game. The dynamics derived is a generalized geometric Brownian motion; from the…
In this paper, we consider a mean field game model inspired by crowd motion in which several interacting populations evolving in $\mathbb R^d$ aim at reaching given target sets in minimal time. The movement of each agent is described by a…
In our multi-agent model agents generate wealth from repeated interactions for which a prisoner's dilemma payoff matrix is assumed. Their gains are taxed by a government at a rate $\alpha$. The resulting budget is spent to cover…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…
Multi-agent complex systems comprising populations of decision-making particles, have many potential applications across the biological, informational and social sciences. We show that the time-averaged dynamics in such systems bear a…
We point out some major drawbacks in random trading market models and propose a realistic modification which overcomes such drawbacks through `sensible trading'. We apply such trading policy in different situations: a) Agents with zero…
Game theory provides a quantitative framework for analyzing the behavior of rational agents. The Iterated Prisoner's Dilemma in particular has become a standard model for studying cooperation and cheating, with cooperation often emerging as…
We construct a model of social behaviour through the dynamics of interacting agents. The agents undergo game-theoretic interactions where each agent can decide to lend support to particular other agents or otherwise, and agents are rewarded…
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process.…
We introduce and treat rigorously a new multi-agent model of the continuous double auction or in other words the order book (OB). It is designed to explain collective behaviour of the market when new information affecting the market…
We study the evolutionary dynamics of games under environmental feedback using replicator equations for two interacting populations. One key feature is to consider jointly the co-evolution of the dynamic payoff matrices and the state of the…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there…
Minority game is a model of heterogeneous players who think inductively. In this game, each player chooses one out of two alternatives every turn and those who end up in the minority side wins. It is instructive to extend the minority game…