Related papers: Agent-based Models of Financial Markets
The "Money Exchange Model" is a type of agent-based simulation model used to study how wealth distribution and inequality evolve through monetary exchanges between individuals. The primary focus of this model is to identify the limiting…
Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with…
The integration of multiple viewpoints became an increasingly popular approach to deal with agent-based simulations. Despite their disparities, recent approaches successfully manage to run such multi-level simulations. Yet, are they doing…
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes.In this scenario, an…
An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The…
An agent-based model (ABM) is a computational model in which the local interactions of autonomous agents with each other and with their environment give rise to global properties within a given domain. As the detail and complexity of these…
In this paper, we continue our analysis of spatial versions of agent-based models for the dynamics of money that have been introduced in the statistical physics literature, focusing on two models with debts. Both models consist of systems…
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate…
Financial trading has been a challenging task, as it requires the integration of vast amounts of data from various modalities. Traditional deep learning and reinforcement learning methods require large training data and often involve…
Making use of swarm methods in financial market modeling of liquidity, and techniques from financial analysis in swarm analysis, holds the potential to advance both research areas. In swarm research, the use of game theory methods holds the…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
In recent years, there has been a proliferation of online gambling sites, which made gambling more accessible with a consequent rise in related problems, such as addiction. Hence, the analysis of the gambling behaviour at both the…
We present a stochastic, agent-based, binary-transaction Asset-Exchange Model (AEM) for wealth distribution that allows for agents with negative wealth. This model retains certain features of prior AEMs such as redistribution and…
Wealth transactions are central to economic activity, and their particularities shape macroeconomic outcomes. We propose an agent-based model to investigate how homophily influences economic inequality. The model simulates wealth exchanges…
I introduce an agent-based model of a Perpetual Futures market with heterogeneous agents trading via a central limit order book. Perpetual Futures (henceforth Perps) are financial derivatives introduced by the economist Robert Shiller,…
This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which…
We review the agent-based models (ABM) on social physics including econophysics. The ABM consists of agent, system space, and external environment. The agent is autonomous and decides his/her behavior by interacting with the neighbors or…
This paper reviews recent attempts at modelling inequality of wealth as an emergent phenomenon of interacting-agent processes. We point out that recent models of wealth condensation which draw their inspiration from molecular dynamics have,…
We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the…
Generative and agentic artificial intelligence is entering financial markets faster than existing governance can adapt. Current model-risk frameworks assume static, well-specified algorithms and one-time validations; large language models…