Related papers: Volatility and Agent Adaptability in a Self-Organi…
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…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
This paper proposes a general model for synchronized crowding behavior. An order parameter is introduced to quantify the level of synchronization which is shown a function of percentage of agents in reactive state. Further, synchronization…
Recent work has considered theoretical models for the behavior of agents with specific behavioral biases: rather than making decisions that optimize a given payoff function, the agent behaves inefficiently because its decisions suffer from…
Adjustable autonomy refers to entities dynamically varying their own autonomy, transferring decision-making control to other entities (typically agents transferring control to human users) in key situations. Determining whether and when…
We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…
Autonomous and learning agents increasingly participate in markets - setting prices, placing bids, ordering inventory. Such agents are not just aiming to optimize in an uncertain environment; they are making decisions in a game-theoretical…
We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting…
In this work, we investigate interactions that simultaneously order a system locally, while keeping it globally disordered. The study is done in the context of the emergence of diversity in opinion propagation models with interactions…
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…
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…
Adaptivity, both of the individual agents and of the interaction structure among the agents, seems indispensable for scaling up multi-agent systems (MAS's) in noisy environments. One important consideration in designing adaptive agents is…
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 consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
We review existing approaches to mathematical modeling and analysis of multi-agent systems in which complex collective behavior arises out of local interactions between many simple agents. Though the behavior of an individual agent can be…
In this work we study opinion formation in a population participating of a public debate with two distinct choices. We considered three distinct mechanisms of social interactions and individuals' behavior: conformity, nonconformity and…
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the…
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…
We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high-frequency observations of short-dated options. At each point in time, we integrate available options into estimates of the…
Self-modification of agents embedded in complex environments is hard to avoid, whether it happens via direct means (e.g. own code modification) or indirectly (e.g. influencing the operator, exploiting bugs or the environment). It has been…