Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with heterogeneous trading rules, we assume that the investors most exposed to the risky asset are subject to joint liquidation needs. The latter encompass a risk whenever the market impact...

This paper demonstrates how both quantitative and qualitative results of general, analytically tractable asset-pricing model in which heterogeneous agents behave consistently with a constant relative risk aversion assumption can be applied to the particular case of "linear" investment choices....

This paper develops a simple dynamic, non-symmetric game between two player populations that can be generalised to a large variety of conflicts. One population attempts to re-write a current (social) contract in its favour, whereas the other prefers to maintain the status quo. In the model's...

In this paper we study the dynamics of a simple asset pricing model describing the trading activity of heterogeneous agents in a "stylized" market. The economy in the model contains two assets: a bond with risk-less return and a dividend paying stock. The price of the stock is determined through...

We present an analytical solution for the connectivity of a network model with a "non-simultaneous" linking scheme. Despite its simplicity, this model exhibits node-space correlations in the link distribution, and anomalous fluctuations behavior of the time series of the connectivity variable,...

We present a new approach to the study of networks where the formation of links is driven by unilateral initiative of nodes. First, we propose a mathematical description of the extreme introvert and extrovert model (XIE), a dynamic network model in which the number of links fluctuates over time...

We study the co-evolution of asset prices and individual wealth in a financial market populated by an arbitrary number of heterogeneous, boundedly rational agents. Using wealth dynamics as a selection device we are able to characterize the long run market outcomes, i.e. asset returns and wealth...

This paper presents a model of Rule of Law in which a continuum of agents plays against the State for the appropriation of the economic assets of a stylised economy. The model shows how each agent can either challenge the State or acquiesce, with the latter having the choice of either protecting...

We investigate the effects of different regulatory policies directed towards high-frequency trading (HFT) through an agent-based model of a limit order book able to generate flash crashes as the result of the interactions between low- and high-frequency (HF) traders. We analyze the impact of the...

We propose a parsimonious agent-based model of a financial market at the intra-day time scale that is able to jointly reproduce many of the empirically validated stylised facts. These include properties related to returns (leptokurtosis, absence of linear autocorrelation, volatility clustering),...