We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are currently used to model financial markets. One of the most prominent examples is here the Minority Game (MG), which we address in some more detail. After a brief discussion of its basic setup and general phenomenology we summarise the main findings of the statistical mechanics analysis and discuss the emergence of stylised facts in extensions of the MG near their phase transitions between efficient and predictable regimes. We then turn towards more realistic variants which comprise heterogeneous populations of agents, with different memory capabilities, different inclinations to trade and varying expectations on the future evolution of the market. Finally we give a short outlook on potential future work in this area.
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and minimality requirement. We solve the proposed model analytically in the mean-field regime, which shows that various kinds of universal power-law-like behaviors in the financial market may depend on one another, just like the critical exponents in physics. We then discuss the parameters in the proposed model, and we show that each parameter in our model can be rel…
Artificial stock market simulation based on agent is an important means to study financial market. Based on the assumption that the investors are composed of a main fund, small trend and contrarian investors characterized by four parameters, we simulate and research a kind of financial phenomenon with the characteristics of pyramid schemes. Our simulation results and theoretical analysis reveal the relationships between the rate of return of the main fund and the proportion of the trend investors in all small investors, the small investors' parameters of taking profit and stopping loss, the or…
This paper investigates the relationship between the spread of the COVID-19 pandemic, the state of community activity, and the financial index performance across 20 countries. First, we analyze which countries behaved similarly in 2020 with respect to one of three multivariate time series: daily COVID-19 cases, Apple mobility data and national equity index price. Next, we study the trajectories of all three of these attributes in conjunction to determine which exhibited greater similarity. Finally, we investigate whether country financial indices or mobility data responded quicker to surges in…
