94,460 research outputs found
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]
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
The Search for AGN in Distant Galaxy Clusters
We are undertaking the first systematic study of the prevalence of AGN
activity in a large sample of high redshift galaxy clusters. Local clusters
contain mainly red elliptical galaxies, and have little or no luminous AGN
activity. However, recent studies of some moderate to high redshift clusters
have revealed significant numbers of luminous AGN within the cluster. This
effect may parallel the Butcher-Oemler effect - the increase in the fraction of
blue galaxies in distant clusters compared to local clusters. Our aim is to
verify and quantify recent evidence that AGN activity in dense environments
increases with redshift, and to evaluate the significance of this effect. As
cluster AGN are far less prevalent than field sources, a large sample of over
120 cluster fields at z > 0.1 has been selected from the Chandra archives and
is being analysed for excess point sources. The size of the excess, the radial
distribution and flux of the sources and the dependence of these on cluster
redshift and luminosity will reveal important information about the triggering
and fueling of AGN.Comment: 2 pages, to appear in proceedings of 'Multi-wavelength AGN surveys',
Cozumel, 200
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