相关论文: Random trading market: Drawbacks and a realistic m…
In this article we show that the payment flow of a linear tax on trading gains from a security with a semimartingale price process can be constructed for all c\`agl\`ad and adapted trading strategies. It is characterized as the unique…
This paper presents a realistic simulated stock market where large language models (LLMs) act as heterogeneous competing trading agents. The open-source framework incorporates a persistent order book with market and limit orders, partial…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…
An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the…
We use a principal-agent model to analyze the structure of a book-driven dealer market when the dealer faces competition from a crossing network or dark pool. The agents are privately informed about their types (e.g. their portfolios),…
We present a simple dynamical model for describing trading interactions between agents in a social network by considering only two dynamical variables, namely money and goods or services, that are assumed conserved over the whole time span…
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance $\sigma^2$, the price impact $H$ and the predictability $K$ for both models with linear…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
We present a detailed numerical analysis of the modified version of a conservative self-organized extremal model introduced by Pianegonda et. al. for the distribution of wealth of the people in a society. Here the trading process has been…
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…
A representative investor generates realistic and complex security price paths by following this trading strategy: if, a few ticks ago, the market asset had two consecutive upticks or two consecutive downticks, then sell, and otherwise buy.…
Artificial stock market simulation based on agent is an important means to study financial market. Based on the assumption that the investors are composed of a main fund, small trend and contrarian investors characterized by four…
How should one construct a portfolio from multiple mean-reverting assets? Should one add an asset to portfolio even if the asset has zero mean reversion? We consider a position management problem for an agent trading multiple mean-reverting…
Different agents need to make a prediction. They observe identical data, but have different models: they predict using different explanatory variables. We study which agent believes they have the best predictive ability -- as measured by…
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
In FX cash markets, market makers provide liquidity to clients for a wide variety of currency pairs. Because of flow uncertainty and market volatility, they face inventory risk. To mitigate this risk, they typically skew their prices to…
An approximation of strategyproofness in large, two-sided matching markets is highly evident. Through simulations, one can observe that the percentage of agents with useful deviations decreases as the market size grows. Furthermore, there…
Companies like Google and Microsoft run billions of auctions every day to sell advertising opportunities. Any change to the rules of these auctions can have a tremendous effect on the revenue of the company and the welfare of the…
A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own…