Related papers: Dynamics of multi-frequency minority games
The influence of a fixed number of agents with the same fixed behavior on the dynamics of the minority game is studied. Alternatively, the system studied can be considered the minority game with a change in the comfort threshold away from…
The Minority Game framework was recently generalized to account for the possibility that agents adapt not only through strategy selection but also by diversifying their response according to the kind of dynamical regime, or the risk, they…
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient…
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,…
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…
In Mean Field Games of Controls, the dynamics of the single agent is influenced not only by the distribution of the agents, as in the classical theory, but also by the distribution of their optimal strategies. In this paper, we study…
We study the asymptotic macroscopic properties of the mixed majority-minority game, modeling a population in which two types of heterogeneous adaptive agents, namely ``fundamentalists'' driven by differentiation and ``trend-followers''…
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…
We study the dynamics of a version of the batch minority game, with random external information and with different types of inhomogeneous decision noise (additive and multiplicative), using generating functional techniques \`{a} la De…
We consider a version of large population games whose agents compete for resources using strategies with adaptable preferences. Diversity among the agents reduces their maladpative behavior. We find interesting scaling relations with…
Empirically derived continuum models of collective behavior among large populations of dynamic agents are a subject of intense study in several fields, including biology, engineering and finance. We formulate and study a mean-field game…
In this paper, we consider a mean field game model inspired by crowd motion in which several interacting populations evolving in $\mathbb R^d$ aim at reaching given target sets in minimal time. The movement of each agent is described by a…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…
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 many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…
We study the dynamics of the batch minority game, with random external information, using generating functional techniques a la De Dominicis. The relevant control parameter in this model is the ratio $\alpha=p/N$ of the number $p$ of…
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…
A brief review is given of the minority game, an idealized model of a market of speculative agents, and its complex many-body behaviour. Particular consideration is given to the consequences and implications of correlations between…
The existence of a phase transition with diverging susceptibility in batch Minority Games (MGs) is the mark of informationally efficient regimes and is linked to the specifics of the agents' learning rules. Here we study how the standard…
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…