相关论文: The value of information in a multi-agent market m…
The Glosten-Milgrom model describes a single asset market, where informed traders interact with a market maker, in the presence of noise traders. We derive an analogy between this financial model and a Szil\'ard information engine by {\em…
When several two-sided matching markets merge into one, it is inevitable that some agents will become worse off if the matching mechanism used is stable. I formalize this observation by defining the property of integration monotonicity,…
We examine two types of binary betting markets, whose primary goal is for profit (such as sports gambling) or to gain information (such as prediction markets). We articulate the interplay between belief and price-setting to analyse both…
Exploring complex adaptive financial trading environments through multi-agent based simulation methods presents an innovative approach within the realm of quantitative finance. Despite the dominance of multi-agent reinforcement learning…
Automated recommendations can nowadays be found on many e-commerce platforms, and such recommendations can create substantial value for consumers and providers. Often, however, not all recommendable items have the same profit margin, and…
Before the massive spread of computer technology, information was far from complex. The development of technology shifted the paradigm: from individuals who faced scarce and costly information to individuals who face massive amounts of…
Participants in socio-economic systems are often ranked based on their performance. Rankings conveniently reduce the complexity of such systems to ordered lists. Yet, it has been shown in many contexts that those who reach the top are not…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…
We characterise the solutions to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads -- these are short-term deviations from the…
In this paper, our objective is to develop a multi-agent financial system that incorporates simulated trading, a technique extensively utilized by financial professionals. While current LLM-based agent models demonstrate competitive…
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…
Cross-group externalities and network effects in two-sided platform markets shape market structure and competition policy, and are the subject of extensive study. Less understood are the within-group externalities that arise when the…
There have been numerous attempts in explaining the general learning behaviours using model-based and model-free methods. While the model-based control is flexible yet computationally expensive in planning, the model-free control is quick…
Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
We study information elicitation in cost-function-based combinatorial prediction markets when the market maker's utility for information decreases over time. In the sudden revelation setting, it is known that some piece of information will…
We study information disclosure in competitive markets with adverse selection. Sellers privately observe product quality, with higher quality entailing higher production costs, while buyers trade at the market-clearing price after observing…
Prediction markets mobilize financial incentives to forecast binary event outcomes through the aggregation of dispersed beliefs and heterogeneous information. Their growing popularity and demonstrated predictive accuracy in political…
We present a simple model of a non-equilibrium self-organizing market where asset prices are partially driven by investment decisions of a bounded-rational agent. The agent acts in a stochastic market environment driven by various exogenous…