THE THERMAL MINORITY GAME

Andrea Cavagna, Juan P. Garrahan, Irene Giardina and David Sherrington
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Andrea Cavagna: Theoretical Physics, University of Oxford, 1 Keble Road, Oxford OX1 3NP, UK
Juan P. Garrahan: Theoretical Physics, University of Oxford, 1 Keble Road, Oxford OX1 3NP, UK
Irene Giardina: Theoretical Physics, University of Oxford, 1 Keble Road, Oxford OX1 3NP, UK
David Sherrington: Theoretical Physics, University of Oxford, 1 Keble Road, Oxford OX1 3NP, UK

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 455-460

Abstract: New continuous and stochastic extensions of the Minority Game, devised as a fundamental model for a market of competitive agents, are introduced and studied in the context of statistical physics. The new formulation reproduces the key features of the original model, without the need for some of its special assumptions and, most importantly, it demonstrates the crucial role of stochastic decision-making. Furthermore, this formulation provides the exact but novel nonlinear equations for the dynamics of the system.

Keywords: Market microstructure; interacting agents; statistical mechanics (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1142/S0219024900000371

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