Volatility and agent adaptability in a self-organizing market

N.F. Johnson, S. Jarvis, R. Jonson, P. Cheung, Y.R. Kwong and P.M. Hui

Physica A: Statistical Mechanics and its Applications, 1998, vol. 258, issue 1, 230-236

Abstract: We present results for the so-called “bar-attendance” model of market behavior: p adaptive agents, each possessing n prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is s. The global attendance time series has a mean near, but not equal to, s. The variance, or “volatility”, can show a minimum with increasing adaptability of the individual agents.

Keywords: Adaptive systems; Agents; Self-organization (search for similar items in EconPapers)
Date: 1998
References: View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437198002271
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:258:y:1998:i:1:p:230-236

DOI: 10.1016/S0378-4371(98)00227-1

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().