Analysis of price behavior in lazy $-game

Jun Kiniwa, Takeshi Koide and Hiroaki Sandoh

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 18, 3879-3891

Abstract: A non-cooperative iterated multiagent game, called a minority game, and its variations have been extensively studied in this decade. To increase its market similarity, a $-game was presented by observing the current and the next agent’s payoffs. However, since the $-game is defined as an offline game, it is difficult to simulate it in practice. So we propose a new online version of the $-game, called a lazy $-game, and analyze the price behavior of the game. First, we reveal the condition of a bubble phenomenon in the lazy $-game. Next, we investigate the price behavior in the lazy $-game and show that there are some upper/lower bounds of the price as long as both the buyers group and the sellers group are nonempty. Then, we consider the similarity between the lazy $-game and the $-game. Finally, we present some simulation results.

Keywords: Multiagent; Minority game; $-game; Bubble/crash phenomena (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:18:p:3879-3891

DOI: 10.1016/j.physa.2009.05.034

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