Dindo, Pietro

Tuinstra, Jan

English

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 WORKING PAPERS SERIES WP06-15    A Behavioral Model for Participation Games with Negative Feedback Pietro Dindo and Jan Tuinstra 0.4 0.45 0.5 0.55 0.6 0.65 0.7 0  20  40  60  80  100Participation probabilityGame size Nγ/β=0.5γ/β=0.6γ/β=0.4γ/β=0.310 20 30 40 5001234567time# participants10 20 30 40 50024681012# a=110 20 30 40 500246810# switches10 20 30 40 50450050005500# a=1payoffs 0 0.5 1 1.5 2 0  0.2  0.4  0.6  0.8  1PayoffParticipation ratepip(5,10)pip(50,100)pip(150,300)pia 0 0.2 0.4 0.6 0.8 1 0  0.2  0.4  0.6  0.8  1Time (t+1) participation rateTime (t) participation rateN=10N=100N=300-4-3.5-3-2.5-2-1.5-1-0.5 0 0  50  100  150  200  250  300  350  400ψNβ=1β=0.6 0 0.2 0.4 0.6 0.8 1 0  20  40  60  80  100Participation rateTime-1-0.5 0 0.5 1 0  5  10  15  20  25AutocorrelationLag 0 0.2 0.4 0.6 0.8 1 0  50  100  150  200  250  300  350  400Participation rateN-2-1.5-1-0.5 0 0.5 1 0  50  100  150  200  250  300  350  400Lypunov exponentN 0 0.2 0.4 0.6 0.8 1 0.2  0.3  0.4  0.5  0.6  0.7  0.8Participation rateβ−γ-2-1.5-1-0.5 0 0.5 1 0.2  0.3  0.4  0.5  0.6  0.7  0.8Lypunov exponentβ−γ-0.04-0.02 0 0.02 0.04 0.06 0.08 0.1 0  50  100  150  200  250  300  350  400Average frcation of best respondersN-0.04-0.02 0 0.02 0.04 0.06 0.08 0.1 0  50  100  150  200  250  300  350  400Average fraction of best respondersNTwo lags BRThree lags BR 0 0.2 0.4 0.6 0.8 1 0  20  40  60  80  100Participation rateTime-1-0.5 0 0.5 1 0  5  10  15  20  25AutocorrelationLag 0 0.2 0.4 0.6 0.8 1 0  20  40  60  80  100Participation rateTime-1-0.5 0 0.5 1 0  5  10  15  20  25AutocorrelationLag 0 0.2 0.4 0.6 0.8 1 0  20  40  60  80  100Participation rateTime-1-0.5 0 0.5 1 0  5  10  15  20  25AutocorrelationLag 0 0.2 0.4 0.6 0.8 1 0  50  100  150  200  250  300  350  400Participation rateN-0.05 0 0.05 0.1 0.15 0.2 0  50  100  150  200  250  300  350  400Average frcation of best respondersN-0.2-0.15-0.1-0.05 0 0.05 0.1 0.15 0.2-0.4 -0.2  0  0.2  0.4Fraction innovationzMarket entryRoute choice 0 0.2 0.4 0.6 0.8 1 1.2 1.4 0  0.2  0.4  0.6  0.8  1Population payoffNMarket entryRoute choice-0.04-0.02 0 0.02 0.04 0.06 0.08 0.1 0  50  100  150  200  250  300  350  400Average payoff differenceNMarket entryRoute choice-0.04-0.02 0 0.02 0.04 0.06 0.08 0.1 0  100  200  300  400  500Average payoff differenceNMarket entryRoute choice!!"#$%&'()*)+#,(,+#%+,((   List of other working papers: 2006 1. Roman Kozhan, Multiple Priors and No-Transaction Region, WP06-24 2. Martin Ellison, Lucio Sarno and Jouko Vilmunen, Caution and Activism? Monetary Policy Strategies in an Open Economy, WP06-23 3. Matteo Marsili and Giacomo Raffaelli, Risk bubbles and market instability, WP06-22 4. Mark Salmon and Christoph Schleicher, Pricing Multivariate Currency Options with Copulas, WP06-21 5. Thomas Lux and Taisei Kaizoji, Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching, WP06-20 6. Thomas Lux, The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility, WP06-19 7. Peter Heemeijer, Cars Hommes, Joep Sonnemans and Jan Tuinstra, Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation, WP06-18 8. Giacomo Raffaelli and Matteo Marsili, Dynamic instability in a phenomenological model of correlated assets, WP06-17 9. Ginestra Bianconi and Matteo Marsili, Effects of degree correlations on the loop structure of scale free networks, WP06-16 10. Pietro Dindo and Jan Tuinstra, A Behavioral Model for Participation Games with Negative Feedback, WP06-15 11. Ceek Diks and Florian Wagener, A weak bifucation theory for discrete time stochastic dynamical systems, WP06-14 12. Markus Demary, Transaction Taxes, Traders’ Behavior and Exchange Rate Risks, WP06-13 13. Andrea De Martino and Matteo Marsili, Statistical mechanics of socio-economic systems with heterogeneous agents, WP06-12 14. William Brock, Cars Hommes and Florian Wagener, More hedging instruments may destabilize markets, WP06-11 15. Ginwestra Bianconi and Roberto Mulet, On the flexibility of complex systems, WP06-10 16. Ginwestra Bianconi and Matteo Marsili, Effect of degree correlations on the loop structure of scale-free networks, WP06-09 17. Ginwestra Bianconi, Tobias Galla and Matteo Marsili, Effects of Tobin Taxes in Minority Game Markets, WP06-08 18. Ginwestra Bianconi, Andrea De Martino, Felipe Ferreira and Matteo Marsili, Multi-asset minority games, WP06-07 19. Ba Chu, John Knight and Stephen Satchell, Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach, WP06-06 20. Ba Chu and Soosung Hwang, The Asymptotic Properties of AR(1) Process with the Occasionally Changing AR Coefficient, WP06-05 21. Ba Chu and Soosung Hwang, An Asymptotics of Stationary and Nonstationary AR(1) Processes with Multiple Structural Breaks in Mean, WP06-04 22. Ba Chu, Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach, WP06-03 23. Mikhail Anufriev and Gulio Bottazzi, Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders, WP06-02 24. Simonae Alfarano, Thomas Lux and Florian Wagner, Empirical Validation of Stochastic Models of Interacting Agents: A “Maximally Skewed” Noise Trader Model?, WP06-01 2005 1. Shaun Bond and Soosung Hwang, Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggreagation in Real Estate Price Indices, WP05-17 2. Mark Salmon, Gordon Gemmill and Soosung Hwang, Performance Measurement with Loss Aversion, WP05-16 3. Philippe Curty and Matteo Marsili, Phase coexistence in a forecasting game, WP05-15 4. Matthew Hurd, Mark Salmon and Christoph Schleicher, Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised), WP05-14 5. Lucio Sarno, Daniel Thornton and Giorgio Valente, The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields, WP05-13 6. Lucio Sarno, Ashoka Mody and Mark Taylor, A Cross-Country Financial Accelorator: Evidence from North America and Europe, WP05-12 7. Lucio Sarno, Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?, WP05-11 8. James Hodder and Jens Carsten Jackwerth, Incentive Contracts and Hedge Fund Management, WP05-10 9. James Hodder and Jens Carsten Jackwerth, Employee Stock Options: Much More Valuable Than You Thought, WP05-09 10. Gordon Gemmill, Soosung Hwang and Mark Salmon, Performance Measurement with Loss Aversion, WP05-08 11. George Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis, Mispricing of S&P 500 Index Options, WP05-07 12. Elisa Luciano and Wim Schoutens, A Multivariate Jump-Driven Financial Asset Model, WP05-06 13. Cees Diks and Florian Wagener, Equivalence and bifurcations of finite order stochastic processes, WP05-05 14. Devraj Basu and Alexander Stremme, CAY Revisited: Can Optimal Scaling Resurrect the (C)CAPM?, WP05-04 15. Ginwestra Bianconi and Matteo Marsili, Emergence of large cliques in random scale-free networks, WP05-03 16. Simone Alfarano, Thomas Lux and Friedrich Wagner, Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach, WP05-02 17. Abhay Abhayankar, Devraj Basu and Alexander Stremme, Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach, WP05-01 2004 1. Xiaohong Chen, Yanqin Fan and Andrew Patton, Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates, WP04-19 2. Valentina Corradi and Walter Distaso, Testing for One-Factor Models versus Stochastic Volatility Models, WP04-18 3. Valentina Corradi and Walter Distaso, Estimating and Testing Sochastic Volatility Models using Realized Measures, WP04-17 4. Valentina Corradi and Norman Swanson, Predictive Density Accuracy Tests, WP04-16 5. Roel Oomen, Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes, WP04-15 6. Roel Oomen, Properties of Realized Variance for a Pure Jump Process:  Calendar Time Sampling versus Business Time Sampling, WP04-14 7. Richard Clarida, Lucio Sarno, Mark Taylor and Giorgio Valente, The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates, WP04-13 8. Lucio Sarno, Daniel Thornton and Giorgio Valente, Federal Funds Rate Prediction, WP04-12 9. Lucio Sarno and Giorgio Valente, Modeling and Forecasting Stock Returns:  Exploiting the Futures Market, Regime Shifts and International Spillovers, WP04-11 10. Lucio Sarno and Giorgio Valente, Empirical Exchange Rate Models and Currency Risk:  Some Evidence from Density Forecasts, WP04-10 11. Ilias Tsiakas, Periodic Stochastic Volatility and Fat Tails, WP04-09 12. Ilias Tsiakas, Is Seasonal Heteroscedasticity Real?  An International Perspective, WP04-08 13. Damin Challet, Andrea De Martino, Matteo Marsili and Isaac Castillo, Minority games with finite score memory, WP04-07 14. Basel Awartani, Valentina Corradi and Walter Distaso, Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average, WP04-06 15. Andrew Patton and Allan Timmermann, Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity, WP04-05 16. Andrew Patton, Modelling Asymmetric Exchange Rate Dependence, WP04-04 17. Alessio Sancetta, Decoupling and Convergence to Independence with Applications to Functional Limit Theorems, WP04-03 18. Alessio Sancetta, Copula Based Monte Carlo Integration in Financial Problems, WP04-02 19. Abhay Abhayankar, Lucio Sarno and Giorgio Valente, Exchange Rates and Fundamentals:  Evidence on the Economic Value of Predictability, WP04-01 2002 1. Paolo Zaffaroni, Gaussian inference on Certain Long-Range Dependent Volatility Models, WP02-12 2. Paolo Zaffaroni, Aggregation and Memory of Models of Changing Volatility, WP02-11 3. Jerry Coakley, Ana-Maria Fuertes and Andrew Wood, Reinterpreting the Real Exchange Rate - Yield Diffential Nexus, WP02-10 4. Gordon Gemmill and Dylan Thomas , Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds, WP02-09 5. Gordon Gemmill, Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds, WP02-08 6. George Christodoulakis and Steve Satchell, On th Evolution of Global Style Factors in the MSCI Universe of Assets, WP02-07 7. George Christodoulakis, Sharp Style Analysis in the MSCI Sector Portfolios: A Monte Caro Integration Approach, WP02-06 8. George Christodoulakis, Generating Composite Volatility Forecasts with Random Factor Betas, WP02-05 9. Claudia Riveiro and Nick Webber, Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge, WP02-04 10. Christian Pedersen and Soosung Hwang, On Empirical Risk Measurement with Asymmetric Returns Data, WP02-03 11. Roy Batchelor and Ismail Orgakcioglu, Event-related GARCH: the impact of stock dividends in Turkey, WP02-02 12. George Albanis and Roy Batchelor, Combining Heterogeneous Classifiers for Stock Selection, WP02-01 2001 1. Soosung Hwang and Steve Satchell , GARCH Model with Cross-sectional Volatility; GARCHX Models, WP01-16 2. Soosung Hwang and Steve Satchell, Tracking Error: Ex-Ante versus Ex-Post Measures, WP01-15 3. Soosung Hwang and Steve Satchell, The Asset Allocation Decision in a Loss Aversion World, WP01-14 4. Soosung Hwang and Mark Salmon, An Analysis of Performance Measures Using Copulae, WP01-13 5. Soosung Hwang and Mark Salmon, A New Measure of Herding and Empirical Evidence, WP01-12 6. Richard Lewin and Steve Satchell, The Derivation of New Model of Equity Duration, WP01-11 7. Massimiliano Marcellino and Mark Salmon, Robust Decision Theory and the Lucas Critique, WP01-10 8. Jerry Coakley, Ana-Maria Fuertes and Maria-Teresa Perez, Numerical Issues in Threshold Autoregressive Modelling of Time Series, WP01-09 9. Jerry Coakley, Ana-Maria Fuertes and Ron Smith, Small Sample Properties of Panel Time-series Estimators with I(1) Errors, WP01-08 10. Jerry Coakley and Ana-Maria Fuertes, The Felsdtein-Horioka Puzzle is Not as Bad as You Think, WP01-07 11. Jerry Coakley and Ana-Maria Fuertes, Rethinking the Forward Premium Puzzle in a Non-linear Framework, WP01-06 12. George Christodoulakis, Co-Volatility and Correlation Clustering: A Multivariate Correlated ARCH Framework, WP01-05 13. Frank Critchley, Paul Marriott and Mark Salmon, On Preferred Point Geometry in Statistics, WP01-04 14. Eric Bouyé and Nicolas Gaussel and Mark Salmon, Investigating Dynamic Dependence Using Copulae, WP01-03 15. Eric Bouyé, Multivariate Extremes at Work for Portfolio Risk Measurement, WP01-02 16. Erick Bouyé, Vado Durrleman, Ashkan Nikeghbali, Gael Riboulet and Thierry Roncalli, Copulas: an Open Field for Risk Management, WP01-01 2000 1. Soosung Hwang and Steve Satchell , Valuing Information Using Utility Functions, WP00-06   2. Soosung Hwang, Properties of Cross-sectional Volatility, WP00-05  3. Soosung Hwang and Steve Satchell, Calculating the Miss-specification in Beta from Using a Proxy for the Market Portfolio, WP00-04  4. Laun Middleton and Stephen Satchell, Deriving the APT when the Number of Factors is Unknown, WP00-03  5. George A. Christodoulakis and Steve Satchell, Evolving Systems of Financial Returns:  Auto-Regressive Conditional Beta, WP00-02  6. Christian S. Pedersen and Stephen Satchell, Evaluating the Performance of Nearest Neighbour Algorithms when Forecasting US Industry Returns, WP00-01  1999 1. Yin-Wong Cheung, Menzie Chinn and Ian Marsh, How do UK-Based Foreign Exchange Dealers Think Their Market Operates?, WP99-21 2. Soosung Hwang, John Knight and Stephen Satchell, Forecasting Volatility using LINEX Loss Functions, WP99-20 3. Soosung Hwang and Steve Satchell, Improved Testing for the Efficiency of Asset Pricing Theories in Linear Factor Models, WP99-19 4. Soosung Hwang and Stephen Satchell, The Disappearance of Style in the US Equity Market, WP99-18 5. Soosung Hwang and Stephen Satchell, Modelling Emerging Market Risk Premia Using Higher Moments, WP99-17 6. Soosung Hwang and Stephen Satchell, Market Risk and the Concept of Fundamental Volatility:  Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets, WP99-16 7. Soosung Hwang, The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties, WP99-15 8. Ronald MacDonald and Ian Marsh, Currency Spillovers and Tri-Polarity:  a Simultaneous Model of the US Dollar, German Mark and Japanese Yen, WP99-14 9. Robert Hillman, Forecasting Inflation with a Non-linear Output Gap Model, WP99-13 10. Robert Hillman and Mark Salmon , From Market Micro-structure to Macro Fundamentals:  is there Predictability in the Dollar-Deutsche Mark Exchange Rate?, WP99-12 11. Renzo Avesani, Giampiero Gallo and Mark Salmon, On the Evolution of Credibility and Flexible Exchange Rate Target Zones, WP99-11 12. Paul Marriott and Mark Salmon, An Introduction to Differential Geometry in Econometrics, WP99-10 13. Mark Dixon, Anthony Ledford and Paul Marriott, Finite Sample Inference for Extreme Value Distributions, WP99-09 14. Ian Marsh and David Power, A Panel-Based Investigation into the Relationship Between Stock Prices and Dividends, WP99-08 15. Ian Marsh, An Analysis of the Performance of European Foreign Exchange Forecasters, WP99-07 16. Frank Critchley, Paul Marriott and Mark Salmon, An Elementary Account of Amari's Expected Geometry, WP99-06 17. Demos Tambakis and Anne-Sophie Van Royen, Bootstrap Predictability of Daily Exchange Rates in ARMA Models, WP99-05 18. Christopher Neely and Paul Weller, Technical Analysis and Central Bank Intervention, WP99-04 19. Christopher Neely and Paul Weller, Predictability in International Asset Returns: A Re-examination, WP99-03 20. Christopher Neely and Paul Weller, Intraday Technical Trading in the Foreign Exchange Market, WP99-02 21. Anthony Hall, Soosung Hwang and Stephen Satchell, Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models, WP99-01 1998 1. Soosung Hwang and Stephen Satchell, Implied Volatility Forecasting:  A Compaison of Different Procedures Including Fractionally Integrated Models with Applications to UK Equity Options, WP98-05 2. Roy Batchelor and David Peel, Rationality Testing under Asymmetric Loss, WP98-04 3. Roy Batchelor, Forecasting T-Bill Yields: Accuracy versus Profitability, WP98-03 4. Adam Kurpiel and Thierry Roncalli , Option Hedging with Stochastic Volatility, WP98-02 5. Adam Kurpiel and Thierry Roncalli, Hopscotch Methods for Two State Financial Models, WP98-01 

A behavioral model for participation games with negative feedback

http://wrap.warwick.ac.uk/1753/1/WRAP_Dindo_fwp06-15.pdf

A behavioral model for participation games with negative feedback

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