Modelling and Analysis of Adaptability and Emergent Behavior in a Cryptocurrency Market

Pyromallis, Christo; Szabo, Claudia

doi:10.1109/ssci44817.2019.9002829

Cited by 2 publications

(2 citation statements)

References 12 publications

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“…Agent-based computational economics (ACE) is the computational study of economies modeled as evolving systems of autonomous interacting agents from the bottom up [18]. e ACE approach can also model the metaverse economic systems characterized primarily by cryptocurrencies [19]. ree critical properties of ACE, namely, autonomous agents, social interaction, and macro-micro integration, are not only consistent with the connotations of complex economics pioneered by the Santa Fe Institute [20] but also pertinent to the ontological turn of economics advocated by many economic philosophers [21,22].…”

Section: Introductionmentioning

confidence: 99%

Metaverse, SED Model, and New Theory of Value

Wang

Shi³

et al. 2022

Complexity

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The metaverse concept constructs a virtual world parallel to the real world. The social economic dynamics (SED) model establishes a systematic model for social economic dynamics simulation that integrates macroeconomy and microeconomy based on modeling mechanism of the new theory of value by analogy with Newtonian mechanics and the modeling approach of Agent-based computational economics. This article describes the SED model’s modeling mechanisms, modeling rules, and behavior equations. At the same time, this article introduces the methods, testing standards, and some typical cases about using the SED model to generate the economic digital twin systems. By doing so, we hope to demonstrate that the method of computer simulation experiment based on the SED model is a scientific empirical method, which has more advantages than the existing empirical research methods in economics. The SED model, which can be fully used to form an economic engine and construct a virtual economic system by digital twin method, can be integrated with the extant physical engine in the metaverse concept to build a virtual world consisting of physics, economy, culture, and politics that is close to and coexists with reality.

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Section: Introductionmentioning

confidence: 99%

Metaverse, SED Model, and New Theory of Value

Wang

Shi³

et al. 2022

Complexity

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“… 2019 ). Other order book models are presented in Pyromallis and Szabo ( 2019 ) and Zhou et al. ( 2017 ), where the focus is mainly on the adaptive behavior of traders.…”

Section: Introductionmentioning

confidence: 99%

Manipulation of the Bitcoin market: an agent-based study

et al. 2022

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Fraudulent actions of a trader or a group of traders can cause substantial disturbance to the market, both directly influencing the price of an asset or indirectly by misinforming other market participants. Such behavior can be a source of systemic risk and increasing distrust for the market participants, consequences that call for viable countermeasures. Building on the foundations provided by the extant literature, this study aims to design an agent-based market model capable of reproducing the behavior of the Bitcoin market during the time of an alleged Bitcoin price manipulation that occurred between 2017 and early 2018. The model includes the mechanisms of a limit order book market and several agents associated with different trading strategies, including a fraudulent agent, initialized from empirical data and who performs market manipulation. The model is validated with respect to the Bitcoin price as well as the amount of Bitcoins obtained by the fraudulent agent and the traded volume. Simulation results provide a satisfactory fit to historical data. Several price dips and volume anomalies are explained by the actions of the fraudulent trader, completing the known body of evidence extracted from blockchain activity. The model suggests that the presence of the fraudulent agent was essential to obtain Bitcoin price development in the given time period; without this agent, it would have been very unlikely that the price had reached the heights as it did in late 2017. The insights gained from the model, especially the connection between liquidity and manipulation efficiency, unfold a discussion on how to prevent illicit behavior.

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Modelling and Analysis of Adaptability and Emergent Behavior in a Cryptocurrency Market

Cited by 2 publications

References 12 publications

Metaverse, SED Model, and New Theory of Value

Metaverse, SED Model, and New Theory of Value

Manipulation of the Bitcoin market: an agent-based study

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