Impact for Agents

Impact for agents. Most of the agent research community has been predicting greater impact for years and many of us have been working to help the process along. Yet the tremendous growth on the research front has not been met with

Theory of Phase Transition in the Evolutionary Minority Game

We discover the mechanism for the transition from self-segregation (into opposing groups) to clustering (towards cautious behaviors) in the evolutionary minority game (EMG). The mechanism is illustrated with a statistical mechanics analysis of a simplified EMG involving three groups of agents: two groups of opposing agents and one group of cautious agents. Two key factors affect the population distribution of the agents. One is the market impact (the self-interaction), which has been identified previously. The other is the market inefficiency due to the short-time imbalance in the number of agents using opposite strategies. Large market impact favors "extreme" players who choose fixed strategies, while large market inefficiency favors cautious players. The phase transition depends on the number of agents ($N$), the reward-to-fine ratio ($R$), as well as the wealth reduction threshold ($d$) for switching strategy. When the rate for switching strategy is large, there is strong clustering of cautious agents. On the other hand, when $N$ is small, the market impact becomes large, and the extreme behavior is favored.Comment: 5 pages and 3 figure

Scaling laws of strategic behaviour and size heterogeneity in agent dynamics

The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some systems the size of agents can be highly heterogeneous leading to very different impacts of agents on the system dynamics. The large size of some agents poses challenging problems to agents who want to control their impact, either by forcing the system in a given direction or by hiding their intentionality. Here we consider the financial market as a model system, and we study empirically how agents strategically adjust the properties of large orders in order to meet their preference and minimize their impact. We quantify this strategic behavior by detecting scaling relations of allometric nature between the variables characterizing the trading activity of different institutions. We observe power law distributions in the investment time horizon, in the number of transactions needed to execute a large order and in the traded value exchanged by large institutions and we show that heterogeneity of agents is a key ingredient for the emergence of some aggregate properties characterizing this complex system.Comment: 6 pages, 3 figure

Self-organization and phase transition in financial markets with multiple choices

Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there exists another investment opportunity, market confidence, including overconfidence and under-confidence, is not always good or bad for investment. The roles of market confidence is closely related to market impact. For low market impact, overconfidence in a particular asset makes an investor become insensitive to losses and a delayed strategy adjustment leads to a decline in wealth, and thereafter, one's runaway from the market. For high market impact, under-confidence in a particular asset makes an investor over-sensitive to losses and one's too frequent strategy adjustment leads to a large fluctuation in asset prices, and thereafter, a decrease in the number of agents. At an intermediate market impact, the phase transition occurs. No matter what the market impact is, an equilibrium between different markets exists, which is reflected in the occurrence of similar price fluctuations in different markets. A theoretical analysis indicates that such an equilibrium results from the coupled effects of strategy updating and shift in investment. The runaway of the agents trading a specific asset will lead to a decline in the asset price volatility and such a decline will be inhibited by the clustering of the strategies. A uniform strategy distribution will lead to a large fluctuation in asset prices and such a fluctuation will be suppressed by the decrease in the number of agents in the market. A functional relationship between the price fluctuations and the numbers of agents is found

The Emotional Impact of Evil: Philosophical Reflections on Existential Problems

In The Brothers Karamazov, Dostoyevsky illustrates that encounters with evil do not solely impact agents’ beliefs about God (or God’s existence). Evil impacts people on an emotional level as well. Authors like Hasker and van Inwagen sometimes identify the emotional impact of evil with the “existential” problem of evil. For better or worse, the existential version of the problem is often set aside in contemporary philosophical discussions. In this essay, I rely on Robert Roberts’ account of emotions as “concern-based construals” to show that theistic philosophers can effectively address the existential problem (and so, the problem should not be set aside). In fact, addressing the emotional impact of evil is crucial, I argue, given that resolving just the impact of evil on agents’ beliefs about God constitutes an incomplete response to the problem of evil

Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact

We discuss a model of heterogeneous, inductive rational agents inspired by the El Farol Bar problem and the Minority Game. As in markets, agents interact through a collective aggregate variable -- which plays a role similar to price -- whose value is fixed by all of them. Agents follow a simple reinforcement-learning dynamics where the reinforcement, for each of their available strategies, is related to the payoff delivered by that strategy. We derive the exact solution of the model in the ``thermodynamic'' limit of infinitely many agents using tools of statistical physics of disordered systems. Our results show that the impact of agents on the market price plays a key role: even though price has a weak dependence on the behavior of each individual agent, the collective behavior crucially depends on whether agents account for such dependence or not. Remarkably, if the adaptive behavior of agents accounts even ``infinitesimally'' for this dependence they can, in a whole range of parameters, reduce global fluctuations by a finite amount. Both global efficiency and individual utility improve with respect to a ``price taker'' behavior if agents account for their market impact.Comment: 38 pages + 5 figures (needs elsart.sty). New results adde

Innovation Success and Structural Change: An Abstract Agent Based Study

A model is developed to study the effectiveness of innovation and its impact on structure creation and structure change on agent-based societies. The abstract model that is developed is easily adapted to any particular field. In any interacting environment, the agents receive something from the environment (the other agents) in exchange for their effort and pay the environment a certain amount of value for the fulfilling of their needs or for the very price of existence in that environment. This is coded by two bit strings and the dynamics of the exchange is based on the matching of these strings to those of the other agents. Innovation is related to the adaptation by the agents of their bit strings to improve some utility function.Comment: 20 pages, 12 figure

Deriving individual obligations from collective obligations

A collective obligation is an obligation directed to a group of agents so that the group, as a whole, is obliged to achieve a given task. The problem investigated here is the impact of collective obligations on individual obligations,i.e. obligations directed to single agents of the group. In this case, we claim that the derivation of individual obligations from collective obligations depends on several parameters among which the ability of the agents (i.e. what they can do) and their own personal commitments (i.e. what they are determined to do). As for checking if these obligations are fulfilled or not, we need to know what are the actual actions performed by the agents