相关论文: Novel Insights in the Levy-Levy-Solomon Agent-Base…
Although creativity is encouraged in the abstract it is often discouraged in educational and workplace settings. Using an agent-based model of cultural evolution, we investigated the idea that tempering the novelty-generating effects of…
This paper enhances the classical Solow model of economic growth by integrating L\'evy noise, a type of non-Gaussian stochastic perturbation, to capture the inherent uncertainties in economic systems. The extended model examines the impact…
In all local low-dimensional models, scaling at critical points deviates from mean field behavior -- with one possible exception. This exceptional model with ``ordinary" behavior is an inherently non-equilibrium model studied some time ago…
Recent advancements in Large Language Models offer promising capabilities to simulate complex human social interactions. We investigate whether LLM-based multi-agent simulations can reproduce core human social dynamics observed in online…
Large language models have increasingly been proposed as a powerful replacement for classical agent-based models (ABMs) to simulate social dynamics. By using LLMs as a proxy for human behavior, the hope of this new approach is to be able to…
This is a work in progress. The aim is to propose a plausible mechanism for the short term dynamics of the oil market based on the interaction of economic agents. This is a theoretical research which by no means aim at describing all the…
The influence of finite size effects, choice of statistical ensemble and contribution of the forces in numerical simulations using the dissipative particle dynamics (DPD) model are revisited here. Finite size effects in stress anisotropy,…
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…
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we…
Based on the concept of self-decomposability, we extend some recent multivariate L\'evy models built using multivariate subordination with the aim of capturing situations in which a sudden event in one market is propagated onto related…
In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts of financial data. We derive the mean field limit of the…
In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…
Agent-based models (ABMs) are simulation models used in economics to overcome some of the limitations of traditional frameworks based on general equilibrium assumptions. However, agents within an ABM follow predetermined 'bounded rational'…
In statistical analysis, many classic results require the assumption that models have finite mean or variance, including the most standard versions of the laws of large numbers and the central limit theorems. Such an assumption may not be…
The aim of this work is to explore the possible types of phenomena that simple macroeconomic Agent-Based models (ABM) can reproduce. We propose a methodology, inspired by statistical physics, that characterizes a model through its 'phase…
This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market…
We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discrete-time framework is determined by temporary equilibria via…
Quantitative finance has had a long tradition of a bottom-up approach to complex systems inference via multi-agent systems (MAS). These statistical tools are based on modelling agents trading via a centralised order book, in order to…
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…