Stochastic simulation framework for the Limit Order Book using liquidity motivated agents

In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a stochastic model framework. We develop an efficient way to perform statistical calibration of the model parameters on Level 2 limit order book data from Chi-X, based on a combination of indirect inference and multi-objective optimisation. We then demonstrate how such an agent-based modelling framework can be of use in testing exchange regulations, as well as informing brokerage decisions and other trading based scenarios

Dynamical strategies for obstacle avoidance during Dictyostelium discoideum aggregation: a Multi-agent system model

Chemotaxis, the movement of an organism in response to chemical stimuli, is a typical feature of many microbiological systems. In particular, the social amoeba \textit{Disctyostelium discoideum} is widely used as a model organism, but it is not still clear how it behaves in heterogeneous environments. A few models focusing on mechanical features have already addressed the question; however, we suggest that phenomenological models focusing on the population dynamics may provide new meaningful data. Consequently, by means of a specific Multi-agent system model, we study the dynamical features emerging from complex social interactions among individuals belonging to amoeba colonies.\\ After defining an appropriate metric to quantitatively estimate the gathering process, we find that: a) obstacles play the role of local topological perturbation, as they alter the flux of chemical signals; b) physical obstacles (blocking the cellular motion and the chemical flux) and purely chemical obstacles (only interfering with chemical flux) elicit similar dynamical behaviors; c) a minimal program for robustly gathering simulated cells does not involve mechanisms for obstacle sensing and avoidance; d) fluctuations of the dynamics concur in preventing multiple stable clusters. Comparing those findings with previous results, we speculate about the fact that chemotactic cells can avoid obstacles by simply following the altered chemical gradient. Social interactions are sufficient to guarantee the aggregation of the whole colony past numerous obstacles

Principles and Concepts of Agent-Based Modelling for Developing Geospatial Simulations

The aim of this paper is to outline fundamental concepts and principles of the Agent-Based Modelling (ABM) paradigm, with particular reference to the development of geospatial simulations. The paper begins with a brief definition of modelling, followed by a classification of model types, and a comment regarding a shift (in certain circumstances) towards modelling systems at the individual-level. In particular, automata approaches (e.g. Cellular Automata, CA, and ABM) have been particularly popular, with ABM moving to the fore. A definition of agents and agent-based models is given; identifying their advantages and disadvantages, especially in relation to geospatial modelling. The potential use of agent-based models is discussed, and how-to instructions for developing an agent-based model are provided. Types of simulation / modelling systems available for ABM are defined, supplemented with criteria to consider before choosing a particular system for a modelling endeavour. Information pertaining to a selection of simulation / modelling systems (Swarm, MASON, Repast, StarLogo, NetLogo, OBEUS, AgentSheets and AnyLogic) is provided, categorised by their licensing policy (open source, shareware / freeware and proprietary systems). The evaluation (i.e. verification, calibration, validation and analysis) of agent-based models and their output is examined, and noteworthy applications are discussed.Geographical Information Systems (GIS) are a particularly useful medium for representing model input and output of a geospatial nature. However, GIS are not well suited to dynamic modelling (e.g. ABM). In particular, problems of representing time and change within GIS are highlighted. Consequently, this paper explores the opportunity of linking (through coupling or integration / embedding) a GIS with a simulation / modelling system purposely built, and therefore better suited to supporting the requirements of ABM. This paper concludes with a synthesis of the discussion that has proceeded. The aim of this paper is to outline fundamental concepts and principles of the Agent-Based Modelling (ABM) paradigm, with particular reference to the development of geospatial simulations. The paper begins with a brief definition of modelling, followed by a classification of model types, and a comment regarding a shift (in certain circumstances) towards modelling systems at the individual-level. In particular, automata approaches (e.g. Cellular Automata, CA, and ABM) have been particularly popular, with ABM moving to the fore. A definition of agents and agent-based models is given; identifying their advantages and disadvantages, especially in relation to geospatial modelling. The potential use of agent-based models is discussed, and how-to instructions for developing an agent-based model are provided. Types of simulation / modelling systems available for ABM are defined, supplemented with criteria to consider before choosing a particular system for a modelling endeavour. Information pertaining to a selection of simulation / modelling systems (Swarm, MASON, Repast, StarLogo, NetLogo, OBEUS, AgentSheets and AnyLogic) is provided, categorised by their licensing policy (open source, shareware / freeware and proprietary systems). The evaluation (i.e. verification, calibration, validation and analysis) of agent-based models and their output is examined, and noteworthy applications are discussed.Geographical Information Systems (GIS) are a particularly useful medium for representing model input and output of a geospatial nature. However, GIS are not well suited to dynamic modelling (e.g. ABM). In particular, problems of representing time and change within GIS are highlighted. Consequently, this paper explores the opportunity of linking (through coupling or integration / embedding) a GIS with a simulation / modelling system purposely built, and therefore better suited to supporting the requirements of ABM. This paper concludes with a synthesis of the discussion that has proceeded

Analysis of simulation environment

In this paper the requirements for an ALN simulation environment are analysed, as needed in the CATNETS Project. A number of grid and general purpose simulators are evaluated regarding the identified requirements for simulating economical resource allocation mechanisms in ALNs. Subsequently a suitable simulator is chosen for usage in the CATNETS project. --CATNETS simulator,requirements analysis,simulator selection

Active matter beyond mean-field: Ring-kinetic theory for self-propelled particles

A ring-kinetic theory for Vicsek-style models of self-propelled agents is derived from the exact N-particle evolution equation in phase space. The theory goes beyond mean-field and does not rely on Boltzmann's approximation of molecular chaos. It can handle pre-collisional correlations and cluster formation which both seem important to understand the phase transition to collective motion. We propose a diagrammatic technique to perform a small density expansion of the collision operator and derive the first two equations of the BBGKY-hierarchy. An algorithm is presented that numerically solves the evolution equation for the two-particle correlations on a lattice. Agent-based simulations are performed and informative quantities such as orientational and density correlation functions are compared with those obtained by ring-kinetic theory. Excellent quantitative agreement between simulations and theory is found at not too small noises and mean free paths. This shows that there is parameter ranges in Vicsek-like models where the correlated closure of the BBGKY-hierarchy gives correct and nontrivial results. We calculate the dependence of the orientational correlations on distance in the disordered phase and find that it seems to be consistent with a power law with exponent around -1.8, followed by an exponential decay. General limitations of the kinetic theory and its numerical solution are discussed

Adaptive microfoundations for emergent macroeconomics

In this paper we present the basics of a research program aimed at providing microfoundations to macroeconomic theory on the basis of computational agentbased adaptive descriptions of individual behavior. To exemplify our proposal, a simple prototype model of decentralized multi-market transactions is offered. We show that a very simple agent-based computational laboratory can challenge more structured dynamic stochastic general equilibrium models in mimicking comovements over the business cycle.Microfoundations of macroeconomics, Agent-based economics, Adaptive behavior