Dynamics of adaptive agents with asymmetric information
Disordered Systems and Neural Networks
2009-11-11 v3 Statistical Mechanics
Abstract
We apply path-integral techniques to study the dynamics of agent-based models with asymmetric information structures. In particular, we devise a batch version of a model proposed originally by Berg et al. [Quant. Fin. 1 (2001) 203], and convert the coupled multi-agent processes into an effective-agent problem from which the dynamical order parameters in ergodic regimes can be derived self-consistently together with the corresponding phase structure. Our dynamical study complements and extends the available static theory. Results are confirmed by numerical simulations.
Keywords
Cite
@article{arxiv.cond-mat/0505771,
title = {Dynamics of adaptive agents with asymmetric information},
author = {Andrea De Martino and Tobias Galla},
journal= {arXiv preprint arXiv:cond-mat/0505771},
year = {2009}
}
Comments
minor revision of text, accepted by JSTAT