相关论文: The demise of constant price impact functions and …

We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple,…

We study the role of imitation within a model of economics with adaptive agents. The basic ingredients are those of the Minority Game. We add the possibility of local information exchange and imitation of the neighbour's strategy. Imitators…

We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the…

A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the…

Along with the energy transition, the energy markets change their organization toward more decentralized and self-organized structures, striving for locally optimal profits. These tendencies may endanger the physical grid stability. One…

We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…

Models of auctions or tendering processes are introduced. In every round of bidding the players select their bid from a probability distribution and whenever a bid is unsuccessful, it is discarded and replaced. For simple models, the…

The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a…

We solve the dynamics of large spherical Minority Games (MG) in the presence of non-negligible time dependent external contributions to the overall market bid. The latter represent the actions of market regulators, or other major natural or…

Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…

The dynamics of market prices is described as the evolution of opinions in the trading community regarding future market behavior. The price then is a function of the voting process of the market players in favor to raise or reduce the…

In this paper I give a brief introduction to a family of simple but non-trivial models designed to increase our understanding of collective processes in markets, the so-called Minority Games, and their non-equilibrium statistical…

This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…

A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…

We discuss a model of heterogeneous, inductive rational agents inspired by the El Farol Bar problem and the Minority Game. As in markets, agents interact through a collective aggregate variable -- which plays a role similar to price --…

We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…

Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…

We study analytically and numerically Minority Games in which agents may invest in different assets (or markets), considering both the canonical and the grand-canonical versions. We find that the likelihood of agents trading in a given…

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…

In this paper, simple mathematical models from Control Theory are applied to three very important economic paradigms, namely (a) minimum wages in self-regulating markets, (b) market-versus-true values and currency rates, and (c) government…