Volatility and Agent Adaptability in a Self-Organizing Market
Condensed Matter
2009-10-31 v1 adap-org
Adaptation and Self-Organizing Systems
Abstract
We present results for the so-called `bar-attendance' model of market behavior: adaptive agents, each possessing prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is . The global attendance time-series has a mean near, but not equal to, . The variance, or `volatility', can show a minimum with increasing adaptability of the individual agents.
Keywords
Cite
@article{arxiv.cond-mat/9802177,
title = {Volatility and Agent Adaptability in a Self-Organizing Market},
author = {N. F. Johnson and S. Jarvis and R. Jonson and P. Cheung and Y. R. Kwong and P. M. Hui},
journal= {arXiv preprint arXiv:cond-mat/9802177},
year = {2009}
}
Comments
8 pages, 3 figs. n.johnson@physics.ox.ac.uk, pmhui@phy.cuhk.edu.hk