Tagged: agents

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Agent-specific impact of single trades in financial markets

Alex Bladon, Esteban Moro y Tobias Galla Physical Review E 85, 036103 (2012)  [pdf | link] Abstract We present an analysis of the price impact associated with single trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the...

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Market impact and trading profile of large trading orders in stock markets

Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna Phys. Rev. E 80, 066102 (2009) [link, pdf]

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Specialization of strategies and herding behavior of trading firms in a financial market

Fabrizio Lillo, Esteban Moro, Gabriella Vaglica y Rosario Mantegna New Journal of Physics 10 (2008) 043019 [pdf] Abstract: Agent-based models of financial markets usually make assumptions  about agent’s preferred stylized strategies. Empirical validations of these assumptions have not been performed so far on a full-market scale. Here we present a comprehensive study of the resulting strategies followed by the firms which are...

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Scaling laws of strategic behavior and size heterogeneity in agent dynamics

Gabriella Vaglica, Fabrizio Lillo, Esteban Moro y Rosario N. Mantegna Physical Review E 77, 036110 (2008). [link | ArXiv]

The Minority Game: an introductory guide 1

The Minority Game: an introductory guide

Esteban Moro Review article (24 pages), in Advances in Condensed Matter and Statistical Physics, E. Korutcheva and R. Cuerno eds. (Nova Science Publishers, New York 2004). [pdf] Abstract The Minority Game is a simple model for the collective behavior of agents in an idealized situation where they have to compete through adaptation for a finite resource. This review summarizes the statistical mechanics community efforts...