The Simulation of Financial Markets by Agent-Based Mix-Game Models

This paper studies the simulation of financial markets using an agent-based mix-game model which is a variant of the minority game (MG). It specifies the spectra of parameters of mix-game models that fit financial markets by investigating the dynamic behaviors of mix-game models under a wide range of parameters. The main findings are (a) in order to approach efficiency, agents in a real financial market must be heterogeneous, boundedly rational and subject to asymmetric information; (b) an active financial market must be dominated by agents who play a minority game; otherwise, the market would die; (c) the system could be stable if agents who play a majority game have a faster learning rate than those who play a minority game; otherwise, the system could be unstable. The paper then induces the rules for simulating financial markets with mix-game models and gives an example. Finally, the appendix of this paper presents background information about \'El Farol bar\', MG and mix-games.Financial Markets, Simulation, Minority Game, Mix-Game

Deduction of Initial Strategy Distributions of Agents in Mix-game Model

This paper reports the effort of deducing the initial strategy distributions of agents in mix-game model which is used to predict a real financial time series generated from a target financial market. Using mix-game to predict Shanghai Index, we find the time series of prediction accurate rates is sensitive to the initial strategy distributions of agents in group 2 who play minority game, but less sensitive to the initial strategy distributions of agents in group 1 who play majority game. And agents in group 2 tend to cluster in full strategy space (FSS) if the real financial time series has obvious tendency (upward or downward), otherwise they tend to scatter in FSS. We also find that the initial strategy distributions and the number of agents in group 1 influence the level of prediction accurate rates. Finally, this paper gives suggestion about further research.Comment: 8 figures, 2 tables, 10 page

The Quantitative Relations between Stock Prices and Quantities of Tradable Stock Shares and Its Applications

This paper analyzes the quantitative relations between stock prices and quantities of tradable stock shares in Chinese stock markets at six time points by means of Exploratory Data Analysis (EDA) method. It is found the resulting formulae have the same structure but different parameters. This paper also uses these relationships in order to analyse the feasibility of policies for Chinese Government to sell the state-owned shares in Chinese stock markets.

Design in Complex Systems: Individual Performance versus System Efficiency

This paper studies the correlations of the average winnings of agents and the volatilities of systems based on mix-game model which is an extension of minority game (MG). In mix-game, there are two groups of agents; group1 plays the majority game, but the group2 plays the minority game. The results show that the correlations between the average winnings of agents and the mean of local volatilities are different with different combinations of agents' memory lengths when the proportion of agents in group1 increases. The average winnings of agents can represent the average individual performance and the volatility of a system can represent the efficiency of the system. Therefore, these results imply that the combinations of agents' memory lengths largely influence the relation between the system efficiency and the average individual performance. These results could give some guidance in designing complex systems.