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Crowd-anticrowd theory of multi-agent market games

Author

Listed:
  • M. Hart

    (Physics Department, Oxford University, Oxford, OX1 3PU, UK)

  • P. Jefferies

    (Physics Department, Oxford University, Oxford, OX1 3PU, UK)

  • P.M. Hui

    (Physics Department, Chinese University of Hong Kong, Shatin, Hong Kong, PR China)

  • N.F. Johnson

    (Physics Department, Oxford University, Oxford, OX1 3PU, UK)

Abstract

We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple, explanation for the variation of the standard deviation (`volatility') in MG-like games. We demonstrate this for the basic MG, and the MG with stochastic strategies. The time-dependent equations themselves reproduce the essential dynamics of the MG.

Suggested Citation

  • M. Hart & P. Jefferies & P.M. Hui & N.F. Johnson, 2001. "Crowd-anticrowd theory of multi-agent market games," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 20(4), pages 547-550, April.
    • Handle: RePEc:spr:eurphb:v:20:y:2001:i:4:d:10.1007_s100510170237
    DOI: 10.1007/s100510170237
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    Citations

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    Cited by:

    1. Li-Xin Zhong & Wen-Juan Xu & Fei Ren & Yong-Dong Shi, 2012. "Coupled effects of market impact and asymmetric sensitivity in financial markets," Papers 1209.3399, arXiv.org, revised Jan 2013.
    2. Wawrzyniak, Karol & Wiślicki, Wojciech, 2012. "Mesoscopic approach to minority games in herd regime," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2056-2082.

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