相关论文: The cavity method for minority games between arbit…

We show analytically how the fluctuations (i.e. standard deviation) in the Minority Game (MG) can be made to decrease below the random coin-toss limit if the agents use more general behavioral strategies. This suppression of the standard…

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…

We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling…

Starting from the Minority Game and building more and more sophisticated models of adaptive agents, we show that minority mechanisms underly any model where agents learn collectively a resource level that can be either obvious and constant…

We introduce a simple stochastic dynamics for game theory. It assumes ``local'' rationality in the sense that any player climbs the gradient of his utility function in the presence of a stochastic force which represents deviation from…

Finding the optimal assignment in budget-constrained auctions is a combinatorial optimization problem with many important applications, a notable example being the sale of advertisement space by search engines (in this context the problem…

We study Bayesian coordination games where agents receive noisy private information over the game's payoffs, and over each others' actions. If private information over actions is of low quality, equilibrium uniqueness obtains in a manner…

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…

We present a novel method for handling uncertainty about the intentions of non-ego players in dynamic games, with application to motion planning for autonomous vehicles. Equilibria in these games explicitly account for interaction among…

TheMinority Game (MG) has become a paradigm to probe complex social and economical phenomena where adaptive agents compete for a limited resource, and it finds applications in statistical and nonlinear physics as well. In the traditional MG…

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…

In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was…

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…

This paper examines mean field linear-quadratic-Gaussian (LQG) social optimum control with volatility-uncertain common noise. The diffusion terms in the dynamics of agents contain an unknown volatility process driven by a common noise. We…

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…

We study the roles of social and individual learning on outcomes of the Minority Game model of a financial market. Social learning occurs via agents adopting the strategies of their neighbours within a social network, while individual…

We study analytically and by computer simulations a complex system of adaptive agents with finite memory. Borrowing the framework of the Minority Game and using the replica formalism we show the existence of an equilibrium phase transition…

We formulate a theory of agent-based models in which agents compete to be in a winning group. The agents may be part of a network or not, and the winning group may be a minority group or not. The novel feature of the present formalism is…

An interacting Black-Scholes model for option pricing, where the usual constant interest rate r is replaced by a stochastic time dependent rate r(t) of the form r(t)=r+f(t) dW/dt, accounting for market imperfections and prices…

We use analytical techniques based on an expansion in the inverse system size to study the stochastic evolutionary dynamics of finite populations of players interacting in a repeated prisoner's dilemma game. We show that a mechanism of…