Related papers: An Investigation of Crash Avoidance in a Complex S…
In a casino where arbitrarily small bets are admissible, any betting strategy M can be modified into a savings strategy that, not only is successful on each casino sequence where M is (thus accumulating unbounded wealth inside the casino)…
We show that a simple evolutionary scheme, when applied to the minority game (MG), changes the phase structure of the game. In this scheme each agent evolves individually whenever his wealth reaches the specified bankruptcy level, in…
Generalization of the minority game to more than one market is considered. At each time step every agent chooses one of its strategies and acts on the market related to this strategy. If the payoff function allows for strong fluctuation of…
This paper studies the problem of modifying the input matrix of a structured system to make the system strongly structurally controllable. We focus on the generalized structured systems that rely on zero/nonzero/arbitrary structure, i.e.,…
We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple,…
In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game and a Grand Canonical Minority Game. The dynamics derived is a generalized geometric Brownian motion; from the…
Will a large economy be stable? Building on Robert May's original argument for large ecosystems, we conjecture that evolutionary and behavioural forces conspire to drive the economy towards marginal stability. We study networks of firms in…
We solve the dynamics of large spherical Minority Games (MG) in the presence of non-negligible time dependent external contributions to the overall market bid. The latter represent the actions of market regulators, or other major natural or…
The Minority Game is a simple yet highly non-trivial agent-based model for a complex adaptive system. Despite its importance, a quantitative explanation of the game's fluctuations which applies over the entire parameter range of interest…
The current global financial system forms a highly interconnected network where a default in one of its nodes can propagate to many other nodes, causing a catastrophic avalanche effect. In this paper we consider the problem of reducing the…
We examine the feasibility of predicting and subsequently managing the future evolution of a Complex Adaptive System. Our archetypal system mimics a competitive population of mechanical, biological, informational or human objects. We show…
The dynamical evolution of many economic, sociological, biological and physical systems tends to be dominated by a relatively small number of unexpected, large changes (`extreme events'). We study the large, internal changes produced in a…
Complex evolving systems such as the biosphere, ecosystems and societies exhibit sudden collapses, for reasons that are only partially understood. Here we study this phenomenon using a mathematical model of a system that evolves under…
We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting…
Finite size fluctuations are a crucial ingredient in kinetic theory of long-range interacting collisionless systems. In this Letter, we introduce a phenomenological theory which predicts an anomalous scaling close to marginal stability for…
The analysis of parametrised systems is a growing field in verification, but the analysis of parametrised probabilistic systems is still in its infancy. This is partly because it is much harder: while there are beautiful cut-off results for…
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…
Using the mechanics of creep in material sciences as a metaphor, we present a general framework to understand the evolution of financial, economic and social systems and to construct scenarios for the future. In a nutshell, highly…
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic limit and show that stylized facts arise…
We show analytically how the fluctuations (i.e. standard deviation) in the Minority Game (MG) can be made to decrease below the random coin-toss limit if the agents use more general behavioral strategies. This suppression of the standard…