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

Learning to detect, characterize and accommodate novelties is a challenge that agents operating in open-world domains need to address to be able to guarantee satisfactory task performance. Certain novelties (e.g., changes in environment…

One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…

We consider the effect of Gaussian white noise on fast-slow dynamical systems with one fast and two slow variables, containing a folded-node singularity. In the absence of noise, these systems are known to display mixed-mode oscillations,…

A variation of the Minority Game has been applied to study the timing of promotional actions at retailers in the fast moving consumer goods market. The underlying hypotheses for this work are that price promotions are more effective when…

We study how partial information about scoring rules affects fairness in strategic learning settings. In strategic learning, a learner deploys a scoring rule, and agents respond strategically by modifying their features -- at some cost --…

Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…

We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…

We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…

This paper studies an instance of zero-sum games in which one player (the leader) commits to its opponent (the follower) to choose its actions by sampling a given probability measure (strategy). The actions of the leader are observed by the…

We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…

We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strategies' past performance. Based on the chosen trading strategy…

The possibility of latency arbitrage in financial markets has led to the deployment of high-speed communication links between distant financial centers. These links are noisy and so there is a need for coding. In this paper, we develop a…

Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in…

In this paper we study the properties of a Minority Game with evolution realized by using genetic crossover to modify fixed-length decision-making strategies of agents. Although the agents in this evolutionary game act selfishly by trying…

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…

The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…

The purpose of this note is to point out analogies between causal analysis in statistics and the correlation-response theory in statistical physics. It is further shown that for some systems the dynamic cavity offers a way to compute the…

We investigate the financial market dynamics by introducing a heterogeneous agent-based opinion formation model. In this work, we organize the individuals in a financial market by their trading strategy, namely noise traders and…

We study stochastic effects on the lagging anchor dynamics, a reinforcement learning algorithm used to learn successful strategies in iterated games, which is known to converge to Nash points in the absence of noise. The dynamics is…

We investigate how the choice of decision makers can be varied under the presence of risk and uncertainty. Our analysis is based on the approach we have previously applied to individual decision makers, which we now generalize to the case…