Related papers: Generating functional analysis of batch minority g…
We introduce a version of the Minority Game where the total number of available choices is $D>2$, but the agents only have two available choices to switch. For all agents at an instant in any given choice, therefore, the other choice is…
The parallel minority game (PMG) extends the classical minority game to many choices, with each agent restricted to two predetermined alternatives. In this condition, minimizing the population variance across all choices is a complex…
We study the dynamics and statics of a dilute batch minority game with random external information. We focus on the case in which the number of connections per agent is infinite in the thermodynamic limit. The dynamical scenario of…
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,…
We study the parallel Minority Game, where a group of agents, each having two choices, try to independently decide on a strategy such that they stay on minority between their own two choices. However, there are multiple such groups of…
We present a simulation-based approach for solution of mean field games (MFGs), using the framework of empirical game-theoretical analysis (EGTA). Our primary method employs a version of the double oracle, iteratively adding strategies…
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…
We study the dynamics of the `batch' minority game with market-impact correction using generating functional techniques to carry out the quenched disorder average. We find that the assumption of weak long-term memory, which one usually…
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…
The purpose of this paper is to provide further understanding into the structure of the sequential allocation ("stochastic multi-armed bandit", or MAB) problem by establishing probability one finite horizon bounds and convergence rates for…
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 present exact analytic results for a new version of the Minority Game (MG) in which strategy performance is recorded over a finite time horizon. The dynamics of this Time Horizon Minority Game (THMG) exhibit many distinct features from…
The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual Minority Game (MG)…
We use the Minority Game as a testing frame for the problem of the emergence of diversity in socio-economic systems. For the MG with heterogeneous impacts, we show that the direct generalization of the usual agents' profit does not fit some…
In the Minority, Majority and Dollar Games (MG, MAJG, $G), synthetic agents compete for rewards, at each time-step acting in accord with the previously best-performing of their limited sets of strategies. Different components and/or aspects…
The Parallel Minority Game (PMG) refers to a set of Minority Games (MG), played in parallel, where each agent only has two choices to pick from, but each choice can host agents of many kind i.e., their other alternative can be from any…
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…
This dissertation highlights connections between the fields of neural networks, game theory and time series generation. The concept of antipredictability is explained, and the properties of time series that are antipredictable for several…
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 unprecedented access offered by the World Wide Web brings with it the potential to gather huge amounts of data on human activities. Here we exploit this by using a toy model of financial markets, the Minority Game (MG), to investigate…