Related papers: Crowd effects and volatility in a competitive mark…
The minority model was introduced to study the competition between agents with limited information. It has the remarkable feature that, as the amount of information available increases, the collective gain made by the agents is reduced.…
We provide a theoretical description of the Minority Game in terms of crowd effects. The size of the fluctuations arising in the game is controlled by the interplay between crowds of like-minded agents and their anti-correlated partners…
We present results for the so-called `bar-attendance' model of market behavior: $p$ adaptive agents, each possessing $n$ prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is $s$. The global attendance…
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…
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 :…
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…
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…
The Minority Game (MG) is a basic multi-agent model representing a simplified and binary form of the bar attendance model of Arthur. The model has an informationally efficient phase in which the agents lack the capability of exploiting any…
We present a quantitative theory, based on crowd effects, for the market volatility in a Minority Game played by a mixed population. Below a critical concentration of generalized strategy players, we find that the volatility in the crowded…
To study the interplay between global market choice and local peer pressure, we construct a minority-game-like econophysical model. In this so-called networked minority game model, every selfish player uses both the historical minority…
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 investigate the collective behavior of a system of social agents subject to the competition between two mass media influences considered as external fields. We study under what conditions either of two mass media with different…
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 demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…
We study a stochastic model for the diffusion of competing opinions in a population composed of three types of agents: trend-followers, opposers, and indifferent individuals. The decision dynamics are driven by reinforcement mechanisms,…
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 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…
This chapter focuses on the mathematical modelling of active particles (or agents) in crowded environments. We discuss several microscopic models found in literature and the derivation of the respective macroscopic partial differential…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…
Ecologists and economists try to explain collective behavior in terms of competitive systems of selfish individuals with the ability to learn from the past. Statistical physicists have been investigating models which might contribute to the…