Enhanced winnings in a mixed-ability population playing a minority game

We study a mixed population of adaptive agents with small and large memories, competing in a minority game. If the agents are sufficiently adaptive, we find that the average winnings per agent can exceed that obtainable in the corresponding pure populations. In contrast to the pure population, the average success rate of the large-memory agents can be greater than 50 percent. The present results are not reproduced if the agents are fed a random history, thereby demonstrating the importance of memory in this system.Comment: 9 pages Latex + 2 figure

Divergence Measure Between Chaotic Attractors

We propose a measure of divergence of probability distributions for quantifying the dissimilarity of two chaotic attractors. This measure is defined in terms of a generalized entropy. We illustrate our procedure by considering the effect of additive noise in the well known H\'enon attractor. Comparison of two H\'enon attractors for slighly different parameter values, has shown that the divergence has complex scaling structure. Finally, we show how our approach allows to detect non-stationary events in a time series.Comment: 9 pages, 6 figure

Statistical Mechanics of Dilute Batch Minority Games with Random External Information

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

Tracking the states of a nonlinear and nonstationary system in the weight-space of artificial neural networks

We propose a novel interpretation and usage of Neural Network (NN) in modeling physiological signals, which are allowed to be nonlinear and/or nonstationary. The method consists of training a NN for the k-step prediction of a physiological signal, and then examining the connection-weight-space (CWS) of the NN to extract information about the signal generator mechanism. We de. ne a novel feature, Normalized Vector Separation (gamma(ij)), to measure the separation of two arbitrary states i and j in the CWS and use it to track the state changes of the generating system. The performance of the method is examined via synthetic signals and clinical EEG. Synthetic data indicates that gamma(ij) can track the system down to a SNR of 3.5 dB. Clinical data obtained from three patients undergoing carotid endarterectomy of the brain showed that EEG could be modeled (within a root-means-squared-error of 0.01) by the proposed method, and the blood perfusion state of the brain could be monitored via gamma(ij), with small NNs having no more than 21 connection weight altogether

Jogo da Minoria: um modelo baseado em agentes aplicado ao mercado financeiro Minority Game: an agent-based model applied to financial market

Nos últimos anos houve uma contribuição significativa dos físicos para a construção de um tipo de modelo baseado em agentes que busca reproduzir, em simulação computacional, o comportamento do mercado financeiro. Esse modelo, chamado Jogo da Minoria consiste de um grupo de agentes que vão ao mercado comprar ou vender ativos. Eles tomam decisões com base em estratégias e, por meio delas, os agentes estabelecem um intrincado jogo de competição e coordenação pela distribuição da riqueza. O modelo tem demonstrado resultados bastante ricos e surpreendentes, tanto na dinâmica do sistema como na capacidade de reproduzir características estatísticas e comportamentais do mercado financeiro. Neste artigo, são apresentadas a estrutura e a dinâmica do Jogo da Minoria, bem como as contribuições recentes relacionadas ao Jogo da Minoria denominado de Grande Canônico, que é um modelo mais bem ajustado às características do mercado financeiro e reproduz as regularidades estatísticas do preço dos ativos chamadas fatos estilizados.<br>Over the past ten years physicists have made a significant contribution to the building of an agent-based model to reproduce the behavior of financial markets using computer simulation. This model, called the Minority Game, consists of a group of agents that buy or sell assets. They make decisions based on strategies, and through them the agents establish an intricate game of competition and coordination resulting in the distribution of wealth. The model has shown outstanding surprising results concerning both the dynamics of the system and the ability to reproduce statistical and behavior characteristics of the financial market. In this study, the structure and dynamics of the Minority Game and the recent contributions related to the Grand Canonical Minority game, a model which is better adapted to the characteristics of the financial market and reproduce the statistical regularities of asset prices (called stylized facts) are presented

Exploring the Dynamics of Dyadic Interactions via Hierarchical Segmentation

dynamic systems, multivariate analysis, exploratory data analysis, dyadic interactions,