Related papers: Social Behaviour of Agents: Capital Markets and Th…
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural patterns are injected into an asset pricing framework through…
Modern AI systems increasingly operate inside markets and institutions where data, behavior, and incentives are endogenous. This paper develops an economic foundation for multi-agent learning by studying a principal-agent interaction in a…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
Empirically derived continuum models of collective behavior among large populations of dynamic agents are a subject of intense study in several fields, including biology, engineering and finance. We formulate and study a mean-field game…
This paper explores the utility of agent-based simulations in realistically modelling market structures and sheds light on the nuances of optimal dealer strategies. It underscores the contrast between conclusions drawn from probabilistic…
We study a model for social influence in which the agents' opinion is a continuous variable [G. Weisbuch et al., Complexity \textbf{7}, 2, 55 (2002)]. The convergent opinion adjustment process takes place as a result of random binary…
While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion…
In a previous work, we applied a field formalism to analyze capital allocation and accumulation within a network of investors and firms. In that framework, financial agents could invest in firms or in other investors, and banks-introduced…
There are numerous examples of societies with extremely stable mix of contrasting opinions. We argue that this stability is a result of an interplay between society network topology adjustment and opinion changing processes. To support this…
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…
Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
We study the transient behavior of a gossip model, in which agents randomly interact pairwise over a weighted graph with two communities. Edges within each community have identical weights, different from the weights between communities. It…
We propose a frustrated and disordered many-body model of a stockmarket in which independent adaptive traders can trade a stock subject to the economic law of supply and demand. We show that the typical scaling properties and the correlated…
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting agent model of…
We present consensus analysis of systems with single integrator dynamics interacting via time-varying graphs under the event-triggered control paradigm. Event-triggered control sparsifies the control applied, thus reducing the control…
In this paper, we consider a mean field game model inspired by crowd motion where agents aim to reach a closed set, called target set, in minimal time. Congestion phenomena are modeled through a constraint on the velocity of an agent that…
This paper investigates the social optimality of linear quadratic mean field control systems with unmodeled dynamics. The objective of agents is to optimize the social cost, which is the sum of costs of all agents. By variational analysis…
In this work an opinion formation model with heterogeneous agents is proposed. Each agent is supposed to have different power of persuasion, and besides its own level of zealotry, that is, an individual willingness to being convinced by…
We introduce and study a nonlinear discrete dynamical system describing the evolution of a resource distribution among interacting agents. The model generalizes several classical mean-field and opinion-dynamics frameworks and is defined on…