Related papers: A microscopic model of triangular arbitrage
We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…
We introduce a stochastic agent-based model for the flocking dynamics of self-propelled particles that exhibit velocity-alignment interactions with neighbours within their field of view. The stochasticity in the dynamics of the model arises…
Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alternation of bids and asks, we propose moment-based…
We introduce a model for describing the dynamics of large numbers of interacting cells. The fundamental dynamical variables in the model are sub-cellular elements, which interact with each other through phenomenological intra- and…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
Modelling all possible life cycles of a company in a highly competitive economic environment gives a significant advantage to the owner in his business investment activities. This article proposes and analyses a dynamic model of a company's…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
The availability of multidimensional economic datasets has grown significantly in recent years. An example is bilateral trade values across goods among countries, comprising three dimensions -- importing countries, exporting countries, and…
We study the evolution of interacting groups of agents in two-dimensional geometries. We introduce a microscopic stochastic model that includes floor fields modeling the global flow of individual groups as well as local interaction rules.…
This paper is an introduction to the modelling of viscoelastic fluids, with an emphasis on micro-macro (or multiscale) models. Some elements of mathematical and numerical analysis are provided. These notes closely follow the lectures…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
This paper develops a dynamic agent-based model for rural-urban migration, based on the previous relevant works. The model conforms to the typical dynamic linear multi-agent systems model concerned extensively in systems science, in which…
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market.…
This paper studies multilateral matching in which agents may negotiate contracts within any coalition. We assume scale economies such that an agent substitutes some existing contracts with new ones only if the latter involve a set of…
This paper presents a new interacting particle system and uses it as a spin model for financial market microstructure. The asymptotic analysis of this stochastic process exhibits a lower bound to the contemporaneous measurement of price and…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
The dynamics of minority games with agents trading on different time scales is studied via dynamical mean-field theory. We analyze the case where the agents' decision-making process is deterministic and its stochastic generalization with…
We discuss potential market mechanisms for the GRID. A complete dynamical model of a GRID market is defined with three types of agents. Providers, middlemen and users exchange universal GRID computing units (GCUs) at varying prices.…
We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…