Related papers: A Prototype Model of Stock Exchange

In this paper, we describe two approaches to model the behavior of stock prices. The first approach considers the underlying probability distribution of day-to-day price differences. The second approach models the movement of the price as a…

In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…

We introduce and solve a model that mimics the herding effect in financial markets when groups of agents share information. The number of agents in the model is growing and at each time step either (i) with probability $p$ an incoming agent…

A simple model of a buying-selling cycle is proposed. The model comprises two moves: a rational buying and a random selling. The notion of a profit intensity is introduced. Supply and demand curves and geometrical interpretation are…

We present our approach to the problem of how an agent, within an economic Multi-Agent System, can determine when it should behave strategically (i.e. learn and use models of other agents), and when it should act as a simple price-taker. We…

We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main…

Population protocols have been introduced as a model of sensor networks consisting of very limited mobile agents with no control over their own movement: A collection of anonymous agents, modeled by finite automata, interact in pairs…

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…

A new multiagent model of the stock market is formulated that contains four states in which the agents may be located. Next, the model is reformulated in the language of the functional integral containing fluctuations of prices and…

We consider a market where many agents trade many different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about…

Stock exchanges are considered major players in financial sectors of many countries. Most Stockbrokers, who execute stock trade, use technical, fundamental or time series analysis in trying to predict stock prices, so as to advise clients.…

A marketplace is defined where the private data of suppliers (e.g., prosumers) are protected, so that neither their identity nor their level of stock is made known to end customers, while they can sell their products at a reduced price. A…

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 introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…

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…

A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…

Self-Modeling is the process by which an agent, such as an animal or machine, learns to create a predictive model of its own dynamics. Once captured, this self-model can then allow the agent to plan and evaluate various potential behaviors…

Modern approaches to stock pricing in quantitative finance are typically founded on the 'Black-Scholes model' and the underlying 'random walk hypothesis'. Empirical data indicate that this hypothesis works well in stable situations but, in…

We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which…

We present a novel approach to modeling market dynamics using ordinary differential equations that explicitly incorporates product competitiveness and consumer behavior. Our framework treats market segments as interacting populations in a…