Related papers: Dynamics of multi-frequency minority games
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an It\^o diffusion via one-sided singular stochastic control, aiming to…
We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical…
We investigate further several properties of the minority game we have recently introduced. We explain the origin of the phase transition and give an analytical expression of $\sigma^2/N$ in the $N\ll2^M$ region. The ability of the players…
We study the continuous time dynamics of the Thermal Minority Game. We find that the dynamical equations of the model reduce to a set of stochastic differential equations for an interacting disordered system with non-trivial random…
We discuss a simple version of the Minority Game (MG) in which agents hold only one strategy each, but in which their capitals evolve dynamically according to their success and in which the total trading volume varies in time accordingly.…
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…
We consider a class of mean field games in which the agents interact through both their states and controls, and we focus on situations in which a generic agent tries to adjust her speed (control) to an average speed (the average is made in…
Mean field game theory studies the behavior of a large number of interacting individuals in a game theoretic setting and has received a lot of attention in the past decade (Lasry and Lions, Japanese journal of mathematics, 2007). In this…
The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly review the economic and game theoretic…
This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action. By active control, a player can bring its state to a resetting point. All players are…
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 calculate the standard deviation of (N1-N0), the difference of the number of agents choosing between the two alternatives of the minority game. Our approach is based on two approximations: we use the whole set of possible strategies,…
We consider deterministic mean field games where the dynamics of a typical agent is non-linear with respect to the state variable and affine with respect to the control variable. Particular instances of the problem considered here are mean…
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
This article introduces a novel mean-field game model for multi-sector economic growth in which a dynamically evolving externality, influenced by the collective actions of agents, plays a central role. Building on classical growth theories…
The paper is concerned with the study of a control system consisting of one major agent and many identical minor agents in the limit case when the number of agents tends to infinity. To study the limiting system we use the mean field…
We study stochastic Mean Field Games on networks with sticky transition conditions. In this setting, the diffusion process governing the agent's dynamics can spend finite time both in the interior of the edges and at the vertices. The…
In this paper, we consider a first-order deterministic mean field game model inspired by crowd motion in which agents moving in a given domain aim to reach a given target set in minimal time. To model interaction between agents, we assume…
Mean field games and controls involve guiding the behavior of large populations of interacting agents, where each individual's influence on the group is negligible but collectively impacts overall dynamics. Hybrid systems integrate…
We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…