相关论文: Non-equilibrium statistical mechanics of Minority …
The Minority Game is a simple model for the collective behavior of agents in an idealized situation where they have to compete through adaptation for a finite resource. This review summarizes the statistical mechanics community efforts to…
A brief review is given of the minority game, an idealized model stimulated by a market of speculative agents, and its complex many-body behaviour. Particular consideration is given to analytic results for the model rather than discussions…
It is shown how the generating functional method of De Dominicis can be used to solve the dynamics of the original version of the minority game (MG), in which agents observe real as opposed to fake market histories. Here one again finds…
We study the dynamics of the batch minority game, with random external information, using generating functional techniques a la De Dominicis. The relevant control parameter in this model is the ratio $\alpha=p/N$ of the number $p$ of…
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…
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model…
The Minority Game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extend this is a reasonable statement, and present minimal modifications that make this model…
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…
We study the dynamics of a version of the batch minority game, with random external information and with different types of inhomogeneous decision noise (additive and multiplicative), using generating functional techniques \`{a} la De…
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic limit and show that stylized facts arise…
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 :…
In this paper a hierarchical extension of the Minority Game is defined and studied. Numerical simulations show a special type of emergent global behavior between separated parts of the hierarchical structure, connected only through a…
The minority game is a simple congestion game in which the players' main goal is to choose among two options the one that is adopted by the smallest number of players. We characterize the set of Nash equilibria and the limiting behavior of…
We review the statistical mechanics approach to the study of the emerging collective behavior of systems of heterogeneous interacting agents. The general framework is presented through examples is such contexts as ecosystem dynamics and…
The Minority Game (MG) behaves as a stochastically perturbed deterministic system due to the coin-toss invoked to resolve tied strategies. Averaging over this stochasticity yields a description of the MG's deterministic dynamics via mapping…
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 study the role of strategy correlations and timing of adaptation for the dynamics of Minority Games, both simulationally and analytically. Using the exact generating functional approach a la De Dominicis we compute the phase diagram and…
This paper gives a critical account of the minority game literature. The minority game is a simple congestion game: players need to choose between two options, and those who have selected the option chosen by the minority win. The learning…
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…
Game theory relies heavily on the availability of cardinal utility functions, but in fields such as matching markets, only ordinal preferences are typically elicited. The literature focuses on mechanisms with simple dominant strategies, but…