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Study on system dynamics of evolutionary mix-game models

Author

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  • Gou, Chengling
  • Guo, Xiaoqian
  • Chen, Fang

Abstract

Mix-game model is ameliorated from an agent-based MG model, which is used to simulate the real financial market. Different from MG, there are two groups of agents in Mix-game: Group 1 plays a majority game and Group 2 plays a minority game. These two groups of agents have different bounded abilities to deal with historical information and to count their own performance. In this paper, we modify Mix-game model by assigning the evolution abilities to agents: if the winning rates of agents are smaller than a threshold, they will copy the best strategies the other agent has; and agents will repeat such evolution at certain time intervals. Through simulations this paper finds: (1) the average winning rates of agents in Group 1 and the mean volatilities increase with the increases of the thresholds of Group 1; (2) the average winning rates of both groups decrease but the mean volatilities of system increase with the increase of the thresholds of Group 2; (3) the thresholds of Group 2 have greater impact on system dynamics than the thresholds of Group 1; (4) the characteristics of system dynamics under different time intervals of strategy change are similar to each other qualitatively, but they are different quantitatively; (5) As the time interval of strategy change increases from 1 to 20, the system behaves more and more stable and the performances of agents in both groups become better also.

Suggested Citation

  • Gou, Chengling & Guo, Xiaoqian & Chen, Fang, 2008. "Study on system dynamics of evolutionary mix-game models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(25), pages 6353-6359.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:25:p:6353-6359
    DOI: 10.1016/j.physa.2008.07.023
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    References listed on IDEAS

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    1. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272, Decembrie.
    2. Johnson, Neil F. & Jefferies, Paul & Hui, Pak Ming, 2003. "Financial Market Complexity," OUP Catalogue, Oxford University Press, number 9780198526650, Decembrie.
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