相关论文: The cavity method for minority games between arbit…
We analyze the learning of noisy teacher-generated examples by nonlinear and differentiable student perceptrons using the cavity method. The generic activation of an example is a function of the cavity activation of the example, which is…
We study Bayesian coordination games where agents receive noisy private information over the game's payoff structure, and over each others' actions. If private information over actions is precise, we find that agents can coordinate on…
In the evolutionary minority game, agents are allowed to evolve their strategies (``mutate'') based on past experience. We explore the dependence of the system's global behavior on the response time and the mutation threshold of the agents.…
We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive…
New continuous and stochastic extensions of the minority game, devised as a fundamental model for a market of competitive agents, are introduced and studied in the context of statistical physics. The new formulation reproduces the key…
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…
The \$-Game was recently introduced as an extension of the Minority Game. In this paper we compare this model with the well know Minority Game and the Majority Game models. Due to the inter-temporal nature of the market payoff, we introduce…
We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To this end, we develop a theory of optimal stopping mean-field…
Game theory has emerged as a powerful framework for modeling a large range of multi-agent scenarios. Many algorithmic solutions require discrete, finite games with payoffs that have a closed-form specification. In contrast, many real-world…
In the standard minority game, each agent in the minority group receives the same payoff regardless of the size of the minority group. Of great interest for real social and biological systems are cases in which the payoffs to members of the…
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…
In this paper we introduce a new approach for the study of the complex behavior of Minority Game using the tools of algorithmic complexity, physical entropy and information theory. We show that physical complexity and mutual information…
Equity options are known to be notoriously difficult to price accurately, and even with the development of established mathematical models there are many assumptions that must be made about the underlying processes driving market movements.…
In this paper we explore the impact of quantiles on optimal strategies under state dynamics driven by both individual noise, common noise and Poisson jumps. We first establish an optimality system satisfied the quantile process under jump…
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…
In this paper we introduce adaptation mechanism based on genetic algorithms in minority games. If agents find their performances too low, they modify their strategies in hope to improve their performances and become more successful. One aim…
In this paper, we study the phase transition behavior emerging from the interactions among multiple agents in the presence of noise. We propose a simple discrete-time model in which a group of non-mobile agents form either a fixed connected…
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…
We study the equilibrium distribution of relative strategy scores of agents in the asymmetric phase ($\alpha\equiv P/N\gtrsim 1$) of the basic Minority Game using sign-payoff, with $N$ agents holding two strategies over $P$ histories. We…
In this paper, we address linear-quadratic-Gaussian (LQG) risk-sensitive mean field games (MFGs) with common noise. In this framework agents are exposed to a common noise and aim to minimize an exponential cost functional that reflects…