相关论文: The value of information in a multi-agent market m…

We present a novel agent-based approach to simulating an over-the-counter (OTC) financial market in which trades are intermediated solely by market makers and agent visibility is constrained to a network topology. Dynamics, such as changes…

We compare how well agents aggregate information in two repeated social learning environments. In the first setting agents have access to a public data set. In the second they have access to the same data, and also to the past actions of…

We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…

In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…

When human agents come together to make decisions, it is often the case that one human agent has more information than the other. This phenomenon is called information asymmetry and this distorts the market. Often if one human agent intends…

Data buyers compete in a game of incomplete information about which a single data seller owns some payoff-relevant information. The seller faces a joint information- and mechanism-design problem: deciding which information to sell, while…

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…

The emergent behavior of a distributed system is conditioned by the information available to the local decision-makers. Therefore, one may expect that providing decision-makers with more information will improve system performance; in this…

In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…

Electronic trading markets have evolved rapidly with continued adoption of new technologies and growing in-formation acquisition and processing capabilities. Traditional perspectives on trading performance adopted a mono-lithic view of…

We propose a frustrated and disordered many-body model of a stockmarket in which independent adaptive traders can trade a stock subject to the economic law of supply and demand. We show that the typical scaling properties and the correlated…

We utilize a chartist-fundamentalist model to examine the limits of informationally efficient stock markets. In our model, chartists are permanently active in the stock market, while fundamentalists trade only when their…

A numerical agent-based spin model of financial markets, based on the Potts model from statistical mechanics, with a novel interpretation of the spin variable (as regards financial-market models) is presented. In this model, a value of the…

We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to…

We consider a model of a data broker selling information to a single agent to maximize his revenue. The agent has a private valuation of the additional information, and upon receiving the signal from the data broker, the agent can conduct…

We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…

The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…

We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model. Trading takes place asynchronously through a matching engine in…

This paper is intended to explain, in simple terms, some of the mechanisms and agents common to multiagent financial market simulations. We first discuss the necessity to include an exogenous price time series ("the fundamental value") for…

Information is often stored in a distributed and proprietary form, and agents who own information are often self-interested and require incentives to reveal their information. Suitable mechanisms are required to elicit and aggregate such…