In Grid environments, where virtual organization resources are allocated to users using mechanisms analogue to market economies, strong price fluctuations can have an impact on the nontrivial quality-of-service expected by end users. In this paper, we investigate the effects of the use of option...

In this work, we aim to gain a better understanding of the volatility smile observed in options markets through microsimulation (MS). We adopt two types of active traders in our MS model: speculators and arbitrageurs, and call and put options on one underlying asset. Speculators make decisions...

The origin of the volatility smile phenomenon observed in options markets has eluded the financial world for more than two decades. We provide a new explanation of this phenomenon using a microscopic multi-agent description of markets. In our model individual trading behavior is explicitly...

Simulating the spreading of the human immunodeficiency virus (HIV) epidemic requires a detailed description of the population network, especially for small populations in which individuals can be represented in detail and accuracy. In this paper, we introduce the concept of a complex agent...

In this working document, we report on a new approach to high performance simulation. The main inspiration to this approach is the concept of complex systems: disparate elements with well-defined interactions rules and non nonlinear emergent macroscopic behavior. We provide arguments and...