Related papers: Social Behaviour of Agents: Capital Markets and Th…
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…
This article reviews a few basic features of systems of one-dimensional diffusions with rank-based characteristics. Such systems arise in particular in the modelling of financial markets , where they go by the name of Atlas models. We…
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…
Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto's wealth power law distribution. One important factor to be considered is the existence of risk aversion. In…
We investigate an agent-based model for the emergence of corruption in public contracts. There are two types of agents: business people and public servants. Both business people and public servants can adopt two strategies: corrupt or…
This paper outlines an agent-based model of a simple financial market in which a single asset is available for trade by three different types of traders. The model was first introduced in the PhD thesis of one of the authors, see reference…
We formulate and analyze a multi-agent model for the evolution of individual and systemic risk in which the local agents interact with each other through a central agent who, in turn, is influenced by the mean field of the local agents. The…
A class of dynamic threshold models is proposed, for describing the upset of collective actions in social networks. The agents of the network have to decide whether to undertake a certain action or not. They make their decision by comparing…
We study a simple continuous-time multi-agent system related to Krause's model of opinion dynamics: each agent holds a real value, and this value is continuously attracted by every other value differing from it by less than 1, with an…
This agent-based model contributes to a theory of corporate culture in which company performance and employees' behaviour result from the interaction between financial incentives, motivational factors and endogenous social norms. Employees'…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
An agent-based model is proposed for analyzing the dynamics that arise from interactions within social networks, analyzing the individual behavior of each profile. Said model considers a simplified construction of a social network while…
We study the collective behavior of interacting agents in a simple model of market economics originally introduced by N{\o}rrelykke and Bak. A general theoretical framework for interacting traders on an arbitrary network is presented, with…
We derive a class of macroscopic differential equations that describe collective adaptation, starting from a discrete-time stochastic microscopic model. The behavior of each agent is a dynamic balance between adaptation that locally…
We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest…
Background: We study mechanisms underlying the collective emotional behavior of Bloggers by using the agent-based modeling and the parameters inferred from the related empirical data. Methodology/Principal Findings: A bipartite network of…
We investigate a variation of the classical voter model in which the set of influencing agents depends on an individual's current opinion. The initial population consists of a random sample of equally sized sub-populations for each state,…