1,731 research outputs found
Trading behavior and excess volatility in toy markets
We study the relation between the trading behavior of agents and volatility
in toy markets of adaptive inductively rational agents. We show that excess
volatility, in such simplified markets, arises as a consequence of {\em i)} the
neglect of market impact implicit in price taking behavior and of {\em ii)}
excessive reactivity of agents. These issues are dealt with in detail in the
simple case without public information. We also derive, for the general case,
the critical learning rate above which trading behavior leads to turbulent
dynamics of the market.Comment: 14 pages, 4 figures, minor change
On the High-dimensional Bak-Sneppen model
We report on extensive numerical simulations on the Bak-Sneppen model in high
dimensions. We uncover a very rich behavior as a function of dimensionality.
For d>2 the avalanche cluster becomes fractal and for d \ge 4 the process
becomes transient. Finally the exponents reach their mean field values for
d=d_c=8, which is then the upper critical dimension of the Bak Sneppen model.Comment: 4 pages, 3 eps figure
A Monte Carlo Renormalization Group Approach to the Bak-Sneppen model
A recent renormalization group approach to a modified Bak-Sneppen model is
discussed. We propose a self-consistency condition for the blocking scheme to
be essential for a successful RG-method applied to self-organized criticality.
A new method realizing the RG-approach to the Bak-Sneppen model is presented.
It is based on the Monte-Carlo importance sampling idea. The new technique
performs much faster than the original proposal. Using this technique we
cross-check and improve previous results.Comment: 11 pages, REVTex, 2 Postscript figures include
Reply to Comment on ``Thermal Model for Adaptive Competition in a Market''
We reply to the Comment of Challet et al. [cond-mat/0004308] on our paper
[Phys. Rev. Lett. 83, 4429 (1999)]. We show that the claim of the Comment that
the effects of the temperature in the Thermal Minority Game ``can be eliminated
by time rescaling'' and consequently the behaviour is ``independent of T'' has
no general validity.Comment: 1 page, 1 figur
Criticality and finite size effects in a simple realistic model of stock market
We discuss a simple model based on the Minority Game which reproduces the
main stylized facts of anomalous fluctuations in finance. We present the
analytic solution of the model in the thermodynamic limit and show that
stylized facts arise only close to a line of critical points with non-trivial
properties. By a simple argument, we show that, in Minority Games, the
emergence of critical fluctuations close to the phase transition is governed by
the interplay between the signal to noise ratio and the system size. These
results provide a clear and consistent picture of financial markets as critical
systems.Comment: 4 pages, 4 figure
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