Related papers: Market behavior and performance of different strat…
We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…
In this article, we established a stock market model based on agents' investing mentality. The agents decide whether to purchase the shares at the probability, according to their anticipation of the market's behaviors. The expectation of…
Strategic classification studies the problem where self-interested individuals or agents manipulate their response to obtain favorable decision outcomes made by classifiers, typically turning to dishonest actions when they are less costly…
The \$-Game was recently introduced as an extension of the Minority Game. In this paper we compare this model with the well know Minority Game and the Majority Game models. Due to the inter-temporal nature of the market payoff, we introduce…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are…
The field of Game Theory provides a useful mechanism for modeling many decision-making scenarios. In participating in these scenarios individuals and groups adopt particular strategies, which generally perform with varying levels of…
We address the question of market efficiency using the Minority Game (MG) model. First we show that removing unrealistic features of the MG leads to models which reproduce a scaling behavior close to what is observed in real markets. In…
We consider a version of large population games whose agents compete for resources using strategies with adaptable preferences. The games can be used to model economic markets, ecosystems or distributed control. Diversity of initial…
We review the statistical mechanics approach to the study of the emerging collective behavior of systems of heterogeneous interacting agents. The general framework is presented through examples is such contexts as ecosystem dynamics and…
Algorithms are often used to produce decision-making rules that classify or evaluate individuals. When these individuals have incentives to be classified a certain way, they may behave strategically to influence their outcomes. We develop a…
We investigate the dynamics of the choice of an active strategy in the minority game. A history distribution is introduced as an analytical tool to study the asymmetry between the two choices offered to the agents. Its properties are…
We study an interacting agent model of a game-theoretical economy. The agents play a minority-subsequently-majority game and they learn, using backpropagation networks, to obtain higher payoffs. We study the relevance of heterogeneity to…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…
Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…
The Minority Game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extend this is a reasonable statement, and present minimal modifications that make this model…
Adaptive populations such as those in financial markets and distributed control can be modeled by the Minority Game. We consider how their dynamics depends on the agents' initial preferences of strategies, when the agents use linear or…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…