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Clustered Volatility in Multiagent Dynamics


  • Michael Youssefmir
  • Bernardo A. Huberman


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.

Suggested Citation

  • Michael Youssefmir & Bernardo A. Huberman, 1995. "Clustered Volatility in Multiagent Dynamics," Working Papers 95-05-051, Santa Fe Institute.
  • Handle: RePEc:wop:safiwp:95-05-051

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    References listed on IDEAS

    1. Sah, Raaj Kumar & Stiglitz, Joseph E, 1986. "The Architecture of Economic Systems: Hierarchies and Polyarchies," American Economic Review, American Economic Association, vol. 76(4), pages 716-727, September.
    2. Herbert A. Simon, 1996. "The Sciences of the Artificial, 3rd Edition," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262691914, July.
    3. Stanley Reiter, 1995. "Coordination and the Structure of Firms," Discussion Papers 1121, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    4. Holland, John H & Miller, John H, 1991. "Artificial Adaptive Agents in Economic Theory," American Economic Review, American Economic Association, vol. 81(2), pages 365-371, May.
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    Cited by:

    1. Arthur, W.B. & Holland, J.H. & LeBaron, B. & Palmer, R. & Tayler, P., 1996. "Asset Pricing Under Endogenous Expectations in an Artificial Stock Market," Working papers 9625, Wisconsin Madison - Social Systems.

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