Wealth distribution across communities of adaptive financial agents

Speculation and Financial Wealth Distribution under Belief Heterogeneity∗

Under limited commitment that prevents agents from pledging their future nonfinancial wealth, agents with incorrect beliefs always survive by holding on their nonfinancial wealth. Friedman (1953)’s market selection hypothesis suggests that their financial wealth trends towards zero in the long run. However, in this paper, I construct an example in dynamic general equilibrium in which over-optim...

Artificial Financial Markets with Adaptive Trading Agents

Motivation: In the last decade there has been a surge of interest within the finance community in describing equity markets through computational agent models [7]. At the same time, financial markets are an important application area within artificial intelligence for the fields of agent-based modeling and machine learning, since agent objectives and interactions tend to be more clearly defined...

Distribution of Wealth

Study of Artificial Financial Markets with Adaptive Trading Agents

Motivation: In the past years, we and others have developed some basic families of algorithmic components for coping with multiple aspects of learning. It is natural to probe directly into the evolution of intelligence and learning mechanisms and into the problem of distributed intelligence such as collective learning, coordination and competition. In this project, we focus on an agent-based mo...

Financial Communities

Whereas many studies in finance have examined and established a strong link between stock returns and information, the physical mechanics of this link have been relatively unexplored. With the advent of stock message boards, it has become feasible to look more closely at the group process by which information impacts prices and vice versa. This paper utilizes a large universe of messages posted...