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This paper investigates the impact of agents' trading decisions on market liquidity and transactional efficiency in markets for illiquid (hard-to-trade) assets. Drawing on a unique order book dataset from the fine wine exchange Liv-ex, we offer novel insights into liquidity dynamics in illiquid markets. Using an agent-based framework, we assess the adequacy of conventional liquidity measures in capturing market liquidity and transactional efficiency. Our main findings reveal that conventional liquidity measures, such as the number of bids, asks, new bids and new asks, may not accurately represent overall transactional efficiency. Instead, volume (measured by the number of trades) and relative spread measures may be more appropriate indicators of liquidity within the context of illiquid markets. Furthermore, our simulations demonstrate that a greater number of traders participating in the market correlates with an increased efficiency in trade execution, while wider trader-set margins may decrease the transactional efficiency. Interestingly, the trading period of the agents appears to have a significant impact on trade execution. This suggests that granting market participants additional time for trading (for example, through the support of automated trading systems) can enhance transactional efficiency within illiquid markets. These insights offer practical implications for market participants and policymakers aiming to optimise market functioning and liquidity.
This model was build to explore the bio-cultural interaction between AMH and Neanderthals during the Middle to Upper Paleolithic Transition in the Iberian Peninsula
How do bots influence beliefs on social media? Why do beliefs propagated by social bots spread far and wide, yet does their direct influence appear to be limited?
This model extends Axelrod’s model for the dissemination of culture (1997), with a social bot agent–an agent who only sends information and cannot be influenced themselves. The basic network is a ring network with N agents connected to k nearest neighbors. The agents have a cultural profile with F features and Q traits per feature. When two agents interact, the sending agent sends the trait of a randomly chosen feature to the receiving agent, who adopts this trait with a probability equal to their similarity. To this network, we add a bot agents who is given a unique trait on the first feature and is connected to a proportion of the agents in the model equal to ‘bot-connectedness’. At each timestep, the bot is chosen to spread one of its traits to its neighbors with a probility equal to ‘bot-activity’.
The main finding in this model is that, generally, bot activity and bot connectedness are both negatively related to the success of the bot in spreading its unique message, in equilibrium. The mechanism is that very active and well connected bots quickly influence their direct contacts, who then grow too dissimilar from the bot’s indirect contacts to quickly, preventing indirect influence. A less active and less connected bot leaves more space for indirect influence to occur, and is therefore more successful in the long run.
This NetLogo model simulates the spread of climate change beliefs within a population of individuals. Each believer has an initial belief level, which changes over time due to interactions with other individuals and exposure to media. The aim of the model is to identify possible methods for reducing climate change denial.
Routes & Rumours is an agent-based model of (forced) human migration. We model the formation of migration routes under the assumption that migrants have limited geographical knowledge concerning the transit area and rely to a large degree on information obtained from other migrants.
This is the final version of the model. To simulate the normative dynamics we used the EmIL (EMergence In the Loop) Framework which was kindly provided by Ulf Lotzmann. http://cfpm.org/EMIL-D5.1.pdf
This is a basic Susceptible, Infected, Recovered (SIR) model. This model explores the spread of disease in a space. In particular, it explores how changing assumptions about the number of susceptible people, starting number of infected people, as well as the disease’s infection probability, and average duration of infection. The model shows that the interactions of agents can drastically affect the results of the model.
We used it in our course on COVID-19: https://www.csats.psu.edu/science-of-covid19
This is an extension of the basic Suceptible, Infected, Recovered (SIR) model. This model explores the spread of disease in two spaces, one a treatment, and one a control. Through the modeling options, one can explore how changing assumptions about the number of susceptible people, starting number of infected people, the disease’s infection probability, and average duration impacts the outcome. In addition, this version allows users to explore how public health interventions like social distancing, masking, and isolation can affect the number of people infected. The model shows that the interactions of agents, and the interventions can drastically affect the results of the model.
We used the model in our course about COVID-19: https://www.csats.psu.edu/science-of-covid19
PPHPC is a conceptual model for studying and evaluating implementation strategies for spatial agent-based models (SABMs). It is a realization of a predator-prey dynamic system, and captures important SABMs characteristics.
The model simulates interaction between internal physiological factors (e.g. energy balance) and external social factors (e.g. competition level) underlying feeding and social interaction behaviour of commercially group-housed pigs.
Displaying 10 of 108 results for "Martijn de Vries" clear search