Related papers: Volatility and Agent Adaptability in a Self-Organi…
We present analytic and numerical results for two models, namely the minority model and the bar-attendance model, which offer simple paradigms for a competitive marketplace. Both models feature heterogeneous agents with bounded rationality…
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…
We consider a service system where agents (or, servers) are invited on-demand. Customers arrive as a Poisson process and join a customer queue. Customer service times are i.i.d. exponential. Agents' behavior is random in two respects.…
We study a model of a competing population of N adaptive agents, with similar capabilities, repeatedly deciding whether to attend a bar with an arbitrary cutoff L. Decisions are based upon past outcomes. The agents are only told whether the…
A model of Boolean agents competing in a market is presented where each agent bases his action on information obtained from a small group of other agents. The agents play a competitive game that rewards those in the minority. After a long…
We analyze a simple model of adaptive competition which captures essential features of a variety of adaptive competitive systems in the social and biological sciences. Each of N agents, at each time step of a game, joins one of two groups.…
Financial markets are subject to long periods of polarized behavior, such as bull-market or bear-market phases, in which the vast majority of market participants seem to almost exclusively choose one action (between buying or selling) over…
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…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…
We derive a class of macroscopic differential equations that describe collective adaptation, starting from a discrete-time stochastic microscopic model. The behavior of each agent is a dynamic balance between adaptation that locally…
We consider a version of large population games whose agents compete for resources using strategies with adaptable preferences. The games can be used to model economic markets, ecosystems or distributed control. Diversity of initial…
We study social behaviour of agents on capital markets when these are perturbed by small perturbations. We use the mean field method. Social behaviour of agents on capital markets is described: volatility of the market, aversion constant…
We discuss the feasibility of predicting, managing and subsequently manipulating, the future evolution of a Complex Adaptive System. Our archetypal system mimics a population of adaptive, interacting objects, such as those arising in the…
Group behavior has received much attention as a test case of self-organization. There has been much written in recent years to investigate interactions within groups of agents. These agents can be animals moving in an interactive way, such…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
We study the relation between the trading behavior of agents and volatility in toy markets of adaptive inductively rational agents. We show that excess volatility, in such simplified markets, arises as a consequence of {\em i)} the neglect…
Adaptive populations such as those in financial markets and distributed control can be modeled by the Minority Game. We consider how their dynamics depends on the agents' initial preferences of strategies, when the agents use linear or…
We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents…