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Clustered Volatility in Multiagent Dynamics

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  • Michael Youssefmir
  • Bernardo A. Huberman
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    Abstract

    Large distributed multiagent systems are characterized by vast numbers of agents trying to gain access to limited resources in an unpredictable environment. Agents in these system continuously switch strategies in order to opportunistically find improvements in their utilities. We have analyzed the fluctuations around equilibrium that arise from strategy switching and discovered the existence of a new phenomenon. It consists of the appearance of sudden bursts of activity that punctuate the fixed point, and is due to an effective random walk consistent with overall stability. This clustered volatility is followed by relaxation to the fixed point but with different strategy mixes from the previous one. The phenomenon is quite general for systems in which agents explore strategies in search of local improvements.

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    Bibliographic Info

    Paper provided by Santa Fe Institute in its series Working Papers with number 95-05-051.

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    Date of creation: May 1995
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    Handle: RePEc:wop:safiwp:95-05-051

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    Web page: http://www.santafe.edu/sfi/publications/working-papers.html
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    Cited by:
    1. W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996. "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market," Working Papers 96-12-093, Santa Fe Institute.

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