相关论文: Stylized facts from a threshold-based heterogeneou…
We propose an artificial market model based on deterministic agents. The agents modify their ask/bid price depending on past price changes. The temporal development of market price fluctuations is calculated numerically. A probability…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
We consider a social system of interacting heterogeneous agents with learning abilities, a model close to Random Field Ising Models, where the random field corresponds to the idiosyncratic willingness to pay. Given a fixed price, agents…
The LLS stock market model is a model of heterogeneous quasi-rational investors operating in a complex environment about which they have incomplete information. We review the main features of this model and several of its extensions. We…
This paper investigates how similarity in the informational representation of market states among Artificial Intelligence (AI) trading agents can generate systemic instability in financial markets. We construct a structural multi-agent…
We run experimental asset markets to investigate the emergence of excess trading and the occurrence of synchronised trading activity leading to crashes in the artificial markets. The market environment favours early investment in the risky…
This paper examines a heterogeneous beliefs model in which there is a process that is only partially observed by the agents. The economy contains a risky asset producing dividends continuously in time. The dividends are observed by the…
Time-inconsistent preferences, where agents favor smaller-sooner over larger-later rewards, are a key feature of human and animal decision-making. Quasi-Hyperbolic (QH) discounting provides a simple yet powerful model for this behavior, but…
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…
We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…
Heterogeneity has been studied as one of the most common explanations of the puzzle of cooperation in social dilemmas. A large number of papers have been published discussing the effects of increasing heterogeneity in structured populations…
This paper addresses patient heterogeneity associated with prediction problems in biomedical applications. We propose a systematic hypothesis testing approach to determine the existence of patient subgroup structure and the number of…
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…
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 introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
Simple agent based exchange models are a commonplace in the study of wealth distribution in an artificial economy. Generally, in a system that is composed of many agents characterized by their wealth and risk-aversion factor, two agents are…
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive agents with threshold behavior allocating their resources…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
We study the dynamics of individual agents in some kinetic models of wealth exchange, particularly, the models with savings. For the model with uniform savings, agents perform simple random walks in the "wealth space". On the other hand, we…
We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, long term memory of volatility and non-Poissonian intervals. We also clarify the causality between…