Searching good strategies in adaptive minority games

In this paper we introduce adaptation mechanism based on genetic algorithms in minority games. If agents find their performances too low, they modify their strategies in hope to improve their performances and become more successful. One aim of this study is to find out what happens at the system as well as at the individual agent level. We observe that adaptation remarkably tightens the competition among the agents, and tries to pull the collective system into a state where the aggregate utility is the largest. We first make a brief comparative study of the different adaptation mechanisms and then present in more detail parametric studies. These different adaptation mechanisms broaden the scope of the applications of minority games to the study of complex systems.Comment: 8 pages including 9 figures. Uses REVTeX

Topologically nontrivial time-dependent chiral condensates

Topologically nontrivial time-dependent solutions of the classical nonlinear sigma model are studied as candidates of the disoriented chiral condensate (DCC) in 3+1 dimensions. Unlike the analytic solutions so far discussed, these solutions cannot be transformed into isospin-uniform ones by chiral rotations. If they are produced as DCC's, they can be detected by a distinct pattern in the angle-rapidity distribution of the neutral-to-chrged-pion ratio.Comment: 11 pages, 3 figures available upon request to autho

Trading volume in models of financial derivatives

This paper develops a subordinated stochastic process model for an asset price, where the directing process is identified as information. Motivated by recent empirical and theoretical work, the paper makes use of the under-used market statistic of transaction count as a suitable proxy for the information flow. An option pricing formula is derived, and comparisons with stochastic volatility models are drawn. Both the asset price and the number of trades are used in parameter estimation. The underlying process is found to be fast mean reverting, and this is exploited to perform an asymptotic expansion. The implied volatility skew is then used to calibrate the model.Trading Volume, Subordinated Process, Stochastic Volatility, Option Pricing,