相关论文: Stylized facts from a threshold-based heterogeneou…

Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a…

We consider a threshold factor model for high-dimensional time series in which the dynamics of the time series is assumed to switch between different regimes according to the value of a threshold variable. This is an extension of threshold…

This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a…

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…

This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…

Probabilistic model checking is a technique for formal automated reasoning about software or hardware systems that operate in the context of uncertainty or stochasticity. It builds upon ideas and techniques from a diverse range of fields,…

Results in the Heterogeneous Agent Model (HAM) literature determine the proportion of fundamentalists and trend followers in the financial market. This proportion varies according to the periods analyzed. In this paper, we use a large…

We review some statistical many-agent models of economic and social systems inspired by microscopic molecular models and discuss their stochastic interpretation. We apply these models to wealth exchange in economics and study how the…

We present a new type of spin market model, populated by hierarchical agents, represented as configurations of sites and arcs in an evolving network. We describe two analytic techniques for investigating the asymptotic behavior of this…

Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…

Intrinsic motivations are receiving increasing attention, i.e. behavioral incentives that are not engineered, but emerge from the interaction of an agent with its surroundings. In this work we study the emergence of behaviors driven by one…

There are multiple explanations for stylized facts in high-frequency trading, including adaptive and informed agents, many of which have been studied through agent-based models. This paper investigates an alternative explanation by…

A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed…

We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…

We discuss recent work in the study of a simple model for the collective behaviour of diverse speculative agents in an idealized stockmarket, considered from the perspective of the statistical physics of many-body systems. The only…

In this paper, we investigate the probabilistic variants of the strategy logics ATL and ATL* under imperfect information. Specifically, we present novel decidability and complexity results when the model transitions are stochastic and…

In this article we study the behavior of a group of economic agents in the context of cooperative game theory, interacting according to rules based on the Potts Model with suitable modifications. Each agent can be thought of as belonging to…

In $d > 2$ dimensional, homogeneous threshold models discontinuous transition occur, but the mean-field solution provides $1/t$ power-law activity decay and other power-laws, thus it is called mixed-order or hybrid type. It has recently…

An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…

We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main…