571 research outputs found

    Generating functional analysis of Minority Games with real market histories

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    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

    Order-Parameter Flow in the SK Spin-Glass II: Inclusion of Microscopic Memory Effects

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    We develop further a recent dynamical replica theory to describe the dynamics of the Sherrington-Kirkpatrick spin-glass in terms of closed evolution equations for macroscopic order parameters. We show how microscopic memory effects can be included in the formalism through the introduction of a dynamic order parameter function: the joint spin-field distribution. The resulting formalism describes very accurately the relaxation phenomena observed in numerical simulations, including the typical overall slowing down of the flow that was missed by the previous simple two-parameter theory. The advanced dynamical replica theory is either exact or a very good approximation.Comment: same as original, but this one is TeXabl

    Dynamical Replica Theory for Disordered Spin Systems

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    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

    Finite Size Effects in Separable Recurrent Neural Networks

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    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

    Multiplpe Choice Minority Game With Different Publicly Known Histories

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    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

    Stationary states of a spherical Minority Game with ergodicity breaking

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    Using generating functional and replica techniques, respectively, we study the dynamics and statics of a spherical Minority Game (MG), which in contrast with a spherical MG previously presented in J.Phys A: Math. Gen. 36 11159 (2003) displays a phase with broken ergodicity and dependence of the macroscopic stationary state on initial conditions. The model thus bears more similarity with the original MG. Still, all order parameters including the volatility can computed in the ergodic phases without making any approximations. We also study the effects of market impact correction on the phase diagram. Finally we discuss a continuous-time version of the model as well as the differences between on-line and batch update rules. Our analytical results are confirmed convincingly by comparison with numerical simulations. In an appendix we extend the analysis of the earlier spherical MG to a model with general time-step, and compare the dynamics and statics of the two spherical models.Comment: 26 pages, 8 figures; typo correcte

    Generating functional analysis of minority games with inner product strategy definitions

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    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

    Statistical Mechanics of Dilute Batch Minority Games with Random External Information

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    We study the dynamics and statics of a dilute batch minority game with random external information. We focus on the case in which the number of connections per agent is infinite in the thermodynamic limit. The dynamical scenario of ergodicity breaking in this model is different from the phase transition in the standard minority game and is characterised by the onset of long-term memory at finite integrated response. We demonstrate that finite memory appears at the AT-line obtained from the corresponding replica calculation, and compare the behaviour of the dilute model with the minority game with market impact correction, which is known to exhibit similar features.Comment: 22 pages, 6 figures, text modified, references updated and added, figure added, typos correcte

    Incorporating Inertia Into Multi-Agent Systems

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    We consider a model that demonstrates the crucial role of inertia and stickiness in multi-agent systems, based on the Minority Game (MG). The inertia of an agent is introduced into the game model by allowing agents to apply hypothesis testing when choosing their best strategies, thereby reducing their reactivity towards changes in the environment. We find by extensive numerical simulations that our game shows a remarkable improvement of global cooperation throughout the whole phase space. In other words, the maladaptation behavior due to over-reaction of agents is removed. These agents are also shown to be advantageous over the standard ones, which are sometimes too sensitive to attain a fair success rate. We also calculate analytically the minimum amount of inertia needed to achieve the above improvement. Our calculation is consistent with the numerical simulation results. Finally, we review some related works in the field that show similar behaviors and compare them to our work.Comment: extensively revised, 8 pages, 10 figures in revtex
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