Related papers: Cycles, determinism and persistence in agent-based…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
Recent theories from complexity science argue that complex dynamics are ubiquitous in social and economic systems. These claims emerge from the analysis of individually simple agents whose collective behavior is surprisingly complicated.…
In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was…
This work contains the mathematical exploration of a few prototypical games in which central concepts from statistics and probability theory naturally emerge. The first two kinds of games are termed Fisher and Bayesian games, which are…
We investigate different versions of the minority game, a toy model for agents buying and selling a commodity. The Hamming distance between the strategies used by agents to take decisions is introduced as an analytical tool to determine…
We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its expected payoff against the worst-case transitions within…
In this paper I give a brief introduction to a family of simple but non-trivial models designed to increase our understanding of collective processes in markets, the so-called Minority Games, and their non-equilibrium statistical…
With increasing game size, a problem of computational complexity arises. This is especially true in real world problems such as in social systems, where there is a significant population of players involved in the game, and the complexity…
Complex systems can exhibit unexpected large changes, e.g. a crash in a financial market. We examine the large endogenous changes arising within a non-trivial generalization of the Minority Game: the Grand Canonical Minority Game (GCMG).…
The parallel minority game (PMG) extends the classical minority game to many choices, with each agent restricted to two predetermined alternatives. In this condition, minimizing the population variance across all choices is a complex…
We present an exact dynamical solution of a spherical version of the batch minority game (MG) with random external information. The control parameters in this model are the ratio of the number of possible values for the public information…
Using the Minority Game model we study a broad spectrum of problems of market mechanism. We study the role of different types of agents: producers, speculators as well as noise traders. The central issue here is the information flow :…
We partially modify the rules of the Minority Game (MG) by introducing some degree of local information in the game, which is only available for some agents, called the interacting agents. Our work shows that, for small values of the new…
It is shown how the generating functional method of De Dominicis can be used to solve the dynamics of the original version of the minority game (MG), in which agents observe real as opposed to fake market histories. Here one again finds…
Randomized mechanisms can have good normative properties compared to their deterministic counterparts. However, randomized mechanisms are problematic in several ways such as in their verifiability. We propose here to derandomize such…
The Parallel Minority Game (PMG) refers to a set of Minority Games (MG), played in parallel, where each agent only has two choices to pick from, but each choice can host agents of many kind i.e., their other alternative can be from any…
The Minority Game (MG) is a basic multi-agent model representing a simplified and binary form of the bar attendance model of Arthur. The model has an informationally efficient phase in which the agents lack the capability of exploiting any…
In the present work, we study deterministic mean field games (MFGs) with finite time horizon in which the dynamics of a generic agent is controlled by the acceleration. They are described by a system of PDEs coupling a continuity equation…
We study the statistical properties of the attendance time series corresponding to the number of agents making a particular decision in the minority game (MG). We focus on the analysis of the probability distribution and the autocorrelation…
This dissertation highlights connections between the fields of neural networks, game theory and time series generation. The concept of antipredictability is explained, and the properties of time series that are antipredictable for several…