Cellular automata models of traffic flow along a highway containing a junction

We examine various realistic generalizations of the basic cellular automaton model describing traffic flow along a highway. In particular, we introduce a {\em slow-to-start} rule which simulates a possible delay before a car pulls away from being stationary. Having discussed the case of a bare highway, we then consider the presence of a junction. We study the effects of acceleration, disorderness, and slow-to-start behavior on the queue length at the entrance to the highway. Interestingly, the junction's efficiency is {\it improved} by introducing disorderness along the highway, and by imposing a speed limit.Comment: to appear in J. Phys. A:Math.& General. 15 pages, RevTeX, 3 Postscript figure

Theory of the evolutionary minority game

We present a theory which describes a recently introduced model of an evolving, adaptive system in which agents compete to be in the minority. The agents themselves are able to evolve their strategies over time in an attempt to improve their performance. The present theory explicitly demonstrates the self-interaction, or so-called market impact, that agents in such systems experience

From market games to real-world markets

This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market clearing mechanisms and show that an out-of-equilibrium clearing process leads to dynamics that closely resemble real financial movements. We then show that replacing the `synthetic' price history used by these simulations with data taken from real financial time-series leads to the remarkable result that the agents can collectively learn to identify moments in the market where profit is attainable. We then employ the formalism of Bouchaud and Sornette in conjunction with agent based models to show that in general risk cannot be eliminated from trading with these models. We also show that, in the presence of transaction costs, the risk of option writing is greatly increased. This risk, and the costs, can however be reduced through the use of a delta-hedging strategy with modified, time-dependent volatility structure.Comment: Presented at APFA2 (Liege) July 2000. Proceedings: Eur. Phys. J. B Latex file + 10 .ps figs. [email protected]

Crowd-Anticrowd Theory of Multi-Agent Market Games

We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple, explanation for the variation of the standard deviation (`volatility') in MG-like games. We demonstrate this for the basic MG, and the MG with stochastic strategies. The time-dependent equations themselves reproduce the essential dynamics of the MG.Comment: Presented at APFA2 (Liege) July 2000. Proceedings: Eur.Phys.J. B [email protected]