Related papers: Dynamical Solution of the On-Line Minority Game
The shape and tails of partial distribution functions (PDF) for a financial signal, i.e. the S&P500 and the turbulent nature of the markets are linked through a model encompassing Tsallis nonextensive statistics and leading to evolution…
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 prove the existence of weak solutions to kinetic flocking model with cut-off interaction function by using Schauder fixed pointed theorem and velocity averaging lemma. Under the natural assumption that the velocity support of the initial…
We introduce a simple stochastic dynamics for game theory. It assumes ``local'' rationality in the sense that any player climbs the gradient of his utility function in the presence of a stochastic force which represents deviation from…
We propose a new model of minority game with so-called smart agents such that the standard deviation and the total loss in this model reach the theoretical minimum values in the limit of long time. The smart agents use trail and error…
In this paper we introduce a new approach for the study of the complex behavior of Minority Game using the tools of algorithmic complexity, physical entropy and information theory. We show that physical complexity and mutual information…
In this paper, we prove the existence of classical solutions for second order stationary mean-field game systems. These arise in ergodic (mean-field) optimal control, convex degenerate problems in calculus of variations, and in the study of…
In this paper, we present a simple stock market model (the market game) which incorporates, as ab initio dynamics delayed majority dynamics, according to which agents (with heterogeneous strategies and price expectations) are rewarded if…
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or not, the game being profitable when…
Ergodic stationary states of Minority Games with S strategies per agent can be characterised in terms of the asymptotic probabilities $\phi_a$ with which an agent uses $a$ of his strategies. We propose here a simple and general method to…
We consider classical solutions to the kinetic Fokker-Planck equation on a bounded domain $\mathcal O \subset~\mathbb{R}^d$ in position, and we obtain a probabilistic representation of the solutions using the Langevin diffusion process with…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
We study the minority-opinion dynamics over a fully-connected network of $n$ nodes with binary opinions. Upon activation, a node receives a sample of opinions from a limited number of neighbors chosen uniformly at random. Each activated…
We formulate a theory of agent-based models in which agents compete to be in a winning group. The agents may be part of a network or not, and the winning group may be a minority group or not. The novel feature of the present formalism is…
We use generating functional methods to solve the so-called inner product versions of the minority game (MG), with fake and/or real market histories, by generalizing the theory developed recently for look-up table MGs with real histories.…
Recent results and interpretations are presented for the thermal minority game, concentrating on deriving and justifying the fundamental stochastic differential equation for the microdynamics.
We propose a model based on coupled multiplicative stochastic processes to understand the dynamics of competing species in an ecosystem. This process can be conveniently described by a Fokker-Planck equation. We provide an analytical…
We study a Fokker-Planck equation modelling the firing rates of two interacting populations of neurons. This model arises in computational neuroscience when considering, for example, bistable visual perception problems and is based on a…
Dynamic noncooperative game theory is a field of mathematics and economics in which a lot of research is being carried out at present featuring a great number of applications in many different areas of economics and management science like…
This paper presents a novel approach to numerically solve stochastic differential games for nonlinear systems. The proposed approach relies on the nonlinear Feynman-Kac theorem that establishes a connection between parabolic deterministic…