Related papers: Agent-based Models of Financial Markets
In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/ excited two state system…
This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based financial market simulator that generates realistic…
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…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
As LLM agents evolve, tokens have emerged as the core economic primitives of Agentic AI. However, their exponential consumption introduces severe computational, collaborative, and security bottlenecks. Current surveys remain fragmented…
Pertaining to Agent-based Computational Economics (ACE), this work presents two models for the rise and downfall of speculative bubbles through an exchange price fixing based on double auction mechanisms. The first model is based on a…
Multi-agent systems offer a new and exciting way of understanding the world of work. We apply agent-based modeling and simulation to investigate a set of problems in a retail context. Specifically, we are working to understand the…
Within the domain of Massively Multiplayer Online (MMO) economy research, Agent-Based Modeling (ABM) has emerged as a robust tool for analyzing game economics, evolving from rule-based agents to decision-making agents enhanced by…
As Large Language Models (LLMs) become increasingly integrated into financial systems, understanding their behavioural properties is crucial. Do LLMs conform to the rational expectations paradigm, do they exhibit human-like "animal…
We review existing approaches to mathematical modeling and analysis of multi-agent systems in which complex collective behavior arises out of local interactions between many simple agents. Though the behavior of an individual agent can be…
This paper pioneers a novel approach to economic and public policy analysis by leveraging multiple Large Language Models (LLMs) as heterogeneous artificial economic agents. We first evaluate five LLMs' economic decision-making capabilities…
We introduce a new software toolbox for agent-based simulation. Facilitating rapid prototyping by offering a user-friendly Python API, its core rests on an efficient C++ implementation to support simulation of large-scale multi-agent…
Some of the most relevant future applications of multi-agent systems like autonomous driving or factories as a service display mixed-motive scenarios, where agents might have conflicting goals. In these settings agents are likely to learn…
The paper provides an introduction to agent-based modelling and simulation of social processes. Reader is introduced to the worldview underlying agent-based models, some basic terminology, basic properties of agent-based models, as well as…
We study how AI agents form expectations and trade in experimental asset markets. Using a simulated open-call auction populated by autonomous Large Language Model (LLM) agents, we document three main findings. First, AI agents exhibit…
Can AI Agents simulate real-world trading environments to investigate the impact of external factors on stock trading activities (e.g., macroeconomics, policy changes, company fundamentals, and global events)? These factors, which…
An agent-based model of the economy is generalized to incorporate investment and guaranteed income mechanisms in addition to the exchange and distribution mechanisms considered in earlier models. We find realistic wealth distributions and…
In real-world stock markets, certain chart patterns -- such as price declines near historical highs -- cannot be fully explained by fundamentals alone. These phenomena suggest the presence of path dependence in price formation, where…