An important challenge of the financial theory in recent years is to construct more sophisticated models which have consistencies with as many financial stylized facts that cannot be explained by traditional models. Recently, psychological studies on decision making under uncertainty which...

Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-based prediction market platform which allows us to reconstruct transaction networks among traders....

We present a double-auction artificial financial market populated by heterogeneous agents who trade one risky asset in exchange for cash. Agents issue random orders subject to budget constraints. The limit prices of orders may depend on past market volatility. Limit orders are stored in the book...

Despite many years of active research in the field and a number of fruitful applications, agent-based modeling has not yet made it through to the top ranking economic journals. In this paper we investigate why. We look at the following problematic areas: (i) interpretation of the simulation...

Firm dynamics on a transaction network is considered from the standpoint of econophysics, agent-based simulations, and game theory. In this model, interacting firms rationally invest in a production facility to maximize net present value. We estimate parameters used in the model through...