11,499 research outputs found
Expectation bubbles in a spin model of markets: Intermittency from frustration across scales
A simple spin model is studied, motivated by the dynamics of traders in a
market where expectation bubbles and crashes occur. The dynamics is governed by
interactions which are frustrated across different scales: While ferromagnetic
couplings connect each spin to its local neighborhood, an additional coupling
relates each spin to the global magnetization. This new coupling is allowed to
be anti-ferromagnetic. The resulting frustration causes a metastable dynamics
with intermittency and phases of chaotic dynamics. The model reproduces main
observations of real economic markets as power-law distributed returns and
clustered volatility.Comment: 5 pages RevTeX, 5 figures eps, revised versio
Dynamics of Multidimensional Secession
We explore a generalized Seceder Model with variable size selection groups
and higher dimensional genotypes, uncovering its well-defined mean-field
limiting behavior. Mapping to a discrete, deterministic version, we pin down
the upper critical size of the multiplet selection group, characterize all
relevant dynamically stable fixed points, and provide a complete analytical
description of its self-similar hierarchy of multiple branch solutions.Comment: 4 pages, 4 figures, PR
Irrelevance of memory in the minority game
By means of extensive numerical simulations we show that all the distinctive
features of the minority game introduced by Challet and Zhang (1997), are
completely independent from the memory of the agents. The only crucial
requirement is that all the individuals must posses the same information,
irrespective of the fact that this information is true or false.Comment: 4 RevTeX pages, 4 figure
Perturbation theory in a pure exchange non-equilibrium economy
We develop a formalism to study linearized perturbations around the
equilibria of a pure exchange economy. With the use of mean field theory
techniques, we derive equations for the flow of products in an economy driven
by heterogeneous preferences and probabilistic interaction between agents. We
are able to show that if the economic agents have static preferences, which are
also homogeneous in any of the steady states, the final wealth distribution is
independent of the dynamics of the non-equilibrium theory. In particular, it is
completely determined in terms of the initial conditions, and it is independent
of the probability, and the network of interaction between agents. We show that
the main effect of the network is to determine the relaxation time via the
usual eigenvalue gap as in random walks on graphs.Comment: 7 pages, 2 figure
A Prototype Model of Stock Exchange
A prototype model of stock market is introduced and studied numerically. In
this self-organized system, we consider only the interaction among traders
without external influences. Agents trade according to their own strategy, to
accumulate his assets by speculating on the price's fluctuations which are
produced by themselves. The model reproduced rather realistic price histories
whose statistical properties are also similar to those observed in real
markets.Comment: LaTex, 4 pages, 4 Encapsulated Postscript figures, uses psfi
Multi-market minority game: breaking the symmetry of choice
Generalization of the minority game to more than one market is considered. At
each time step every agent chooses one of its strategies and acts on the market
related to this strategy. If the payoff function allows for strong fluctuation
of utility then market occupancies become inhomogeneous with preference given
to this market where the fluctuation occured first. There exists a critical
size of agent population above which agents on bigger market behave
collectively. In this regime there always exists a history of decisions for
which all agents on a bigger market react identically.Comment: 15 pages, 12 figures, Accepted to 'Advances in Complex Systems
Self-organized Networks of Competing Boolean Agents
A model of Boolean agents competing in a market is presented where each agent
bases his action on information obtained from a small group of other agents.
The agents play a competitive game that rewards those in the minority. After a
long time interval, the poorest player's strategy is changed randomly, and the
process is repeated. Eventually the network evolves to a stationary but
intermittent state where random mutation of the worst strategy can change the
behavior of the entire network, often causing a switch in the dynamics between
attractors of vastly different lengths.Comment: 4 pages, 3 included figures. Some text revision and one new figure
added. To appear in PR
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