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It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…
This paper proposes a simple model to capture the complexity of multi-layer systems where their constituent layers affect, are affected by, each other. The physical layer is a circuit composed by a power source and resistors in parallel.…
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…
We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…
Assessing the systemic effects of uncertainty that arises from agents' partial observation of the true states of the world is critical for understanding a wide range of scenarios. Yet, previous modeling work on agent learning and…
Starting from the Minority Game and building more and more sophisticated models of adaptive agents, we show that minority mechanisms underly any model where agents learn collectively a resource level that can be either obvious and constant…
In this paper we study multiagent models with time-varying type change. Assume that there exist a closed system of $N$ agents classified into $r$ types according to their states of an internal system; each agent changes its type by an…
Standard economic theory assumes that agents in markets behave rationally. However, the observation of extremely large fluctuations in the price of financial assets that are not correlated to changes in their fundamental value, as well as…
A numerical agent-based spin model of financial markets, based on the Potts model from statistical mechanics, with a novel interpretation of the spin variable (as regards financial-market models) is presented. In this model, a value of the…
Populations of agents often exhibit surprising collective behavior emerging from simple local interactions. The common belief is that the agents must posses a certain level of cognitive abilities for such an emerging collective behavior to…
This paper proposes a modification to Minority Game (MG) by adding some agents who play majority game into MG. So it is referred to as mix-game. The highlight of this model is that the two groups of agents in mix-game have different bounded…
In this technical note we consider a class of multi-agent network systems that we refer to as Open Multi-Agent Systems (OMAS): in these multi-agent systems, an indefinite number of agents may join or leave the network at any time. Focusing…
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling…
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data…
We study the dynamics of exchange value in a system composed of many interacting agents. The simple model we propose exhibits cooperative emergence and collapse of global value for individual goods. We demonstrate that the demand that…
The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
Complex adaptive systems have been the subject of much recent attention. It is by now well-established that members (`agents') tend to self-segregate into opposing groups characterized by extreme behavior. However, while different social…
The law of proportionate growth simply states that the time dependent change of a quantity $x$ is proportional to $x$. Its applicability to a wide range of dynamic phenomena is based on various assumptions for the proportionality factor,…
Understanding the evolution of human social systems requires flexible formalisms for the emergence of institutions. Although game theory is normally used to model interactions individually, larger spaces of games can be helpful for modeling…