Market response to external events and interventions in spherical minority games

We solve the dynamics of large spherical Minority Games (MG) in the presence of non-negligible time dependent external contributions to the overall market bid. The latter represent the actions of market regulators, or other major natural or political events that impact on the market. In contrast to non-spherical MGs, the spherical formulation allows one to derive closed dynamical order parameter equations in explicit form and work out the market's response to such events fully analytically. We focus on a comparison between the response to stationary versus oscillating market interventions, and reveal profound and partially unexpected differences in terms of transition lines and the volatility.Comment: 14 pages LaTeX, 5 (composite) postscript figures, submitted to Journal of Physics

Theory of agent-based market models with controlled levels of greed and anxiety

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, and their vigor in each, depends on the overall state of the market. Even in `fake history' models, the theory now involves an effective overall bid process (coupled to the effective agent process) which can exhibit profound remanence effects and new phase transitions. For some models the bid process can be solved directly, others require Maxwell-construction type approximations.Comment: 30 pages, 10 figure

Generating functional analysis of Minority Games with real market histories

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 exact closed equations for correlation and response functions, but now these are defined in terms of two connected effective non-Markovian stochastic processes: a single effective agent equation similar to that of the `fake' history models, and a second effective equation for the overall market bid itself (the latter is absent in `fake' history models). The result is an exact theory, from which one can calculate from first principles both the persistent observables in the MG and the distribution of history frequencies.Comment: 39 pages, 5 postscript figures, iop styl

Period-two cycles in a feed-forward layered neural network model with symmetric sequence processing

The effects of dominant sequential interactions are investigated in an exactly solvable feed-forward layered neural network model of binary units and patterns near saturation in which the interaction consists of a Hebbian part and a symmetric sequential term. Phase diagrams of stationary states are obtained and a new phase of cyclic correlated states of period two is found for a weak Hebbian term, independently of the number of condensed patterns $c$.Comment: 8 pages and 5 figure

Dynamical Replica Theory for Disordered Spin Systems

We present a new method to solve the dynamics of disordered spin systems on finite time-scales. It involves a closed driven diffusion equation for the joint spin-field distribution, with time-dependent coefficients described by a dynamical replica theory which, in the case of detailed balance, incorporates equilibrium replica theory as a stationary state. The theory is exact in various limits. We apply our theory to both the symmetric- and the non-symmetric Sherrington-Kirkpatrick spin-glass, and show that it describes the (numerical) experiments very well.Comment: 7 pages RevTex, 4 figures, for PR

Multiplpe Choice Minority Game With Different Publicly Known Histories

In the standard Minority Game, players use historical minority choices as the sole public information to pick one out of the two alternatives. However, publishing historical minority choices is not the only way to present global system information to players when more than two alternatives are available. Thus, it is instructive to study the dynamics and cooperative behaviors of this extended game as a function of the global information provided. We numerically find that although the system dynamics depends on the kind of public information given to the players, the degree of cooperation follows the same trend as that of the standard Minority Game. We also explain most of our findings by the crowd-anticrowd theory.Comment: Extensively revised, to appear in New J Phys, 7 pages with 4 figure

Finite Size Effects in Separable Recurrent Neural Networks

We perform a systematic analytical study of finite size effects in separable recurrent neural network models with sequential dynamics, away from saturation. We find two types of finite size effects: thermal fluctuations, and disorder-induced `frozen' corrections to the mean-field laws. The finite size effects are described by equations that correspond to a time-dependent Ornstein-Uhlenbeck process. We show how the theory can be used to understand and quantify various finite size phenomena in recurrent neural networks, with and without detailed balance.Comment: 24 pages LaTex, with 4 postscript figures include

Generating functional analysis of minority games with inner product strategy definitions

We use generating functional methods to solve the so-called inner product versions of the minority game (MG), with fake and/or real market histories, by generalizing the theory developed recently for look-up table MGs with real histories. The phase diagrams of the lookup table and inner product MG versions are generally found to be identical, with the exception of inner product MGs where histories are sampled linearly, which are found to be structurally critical. However, we encounter interesting differences both in the theory (where the role of the history frequency distribution in lookup table MGs is taken over by the eigenvalue spectrum of a history covariance matrix in inner product MGs) and in the static and dynamic phenomenology of the models. Our theoretical predictions are supported by numerical simulations.Comment: 30 pages, 12 figures (some lower resolution to enable submission, originals available upon request), submitted to Journal of Physics