Related papers: Trader dynamics in a model market

We consider a market where many agents trade many different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about…

We consider a system in which a group of agents represented by the vertices of a graph synchronously update their opinion based on that of their neighbours. If each agent adopts a positive opinion if and only if that opinion is sufficiently…

We study the market impact of a meta-order in the framework of the Minority Game. This amounts to studying the response of the market when introducing a trader who buys or sells a fixed amount h for a finite time T. This perturbation…

We consider a class of games that are generalizations of the minority game, in that the demand and supply of the resource are specified independently. This allows us to study systems in which agents compete under different demand loads.…

Minority games where groups of agents remember, react or incorporate information with different timescales are investigated. We study how their respective gains depend on their timescales for standard models and games with no public…

Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The inequality sets limiting relationship between…

Econophysics provides a strategy for understanding the potential mechanisms underlying the anomalous distribution of wealth found in real societies. We present a computational nonlinear stochastic model for the distribution of wealth that…

We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…

In social situations with which evolutionary game is concerned, individuals are considered to be heterogeneous in various aspects. In particular, they may differently perceive the same outcome of the game owing to heterogeneity in…

We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the…

The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously and…

A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social…

We study a variation of the minority game. There are N agents. Each has to choose between one of two alternatives everyday, and there is reward to each member of the smaller group. The agents cannot communicate with each other, but try to…

Mathematical theory of selection is developed within the frameworks of general models of inhomogeneous populations with continuous time. Methods that allow us to study the distribution dynamics under natural selection and to construct…

We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…

We study the role of imitation within the Minority Game model of market. The players can exchange information locally, which leads to formation of groups which act as if they were single players. Coherent spatial areas of rich and poor…

We run experimental asset markets to investigate the emergence of excess trading and the occurrence of synchronised trading activity leading to crashes in the artificial markets. The market environment favours early investment in the risky…

Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…

Many mathematical frameworks of evolutionary game dynamics assume that the total population size is constant and that selection affects only the relative frequency of strategies. Here, we consider evolutionary game dynamics in an extended…

This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…