From naive to sophisticated behavior in multiagents-based financial market models

R Mansilla

Physica A: Statistical Mechanics and its Applications, 2000, vol. 284, issue 1, 478-488

Abstract: The behavior of physical complexity and mutual information function of the outcome of a model of heterogeneous, inductive rational agents inspired by the El Farol Bar problem and the Minority Game is studied. The first magnitude is a measure rooted in the Kolmogorov–Chaitin theory and the second a measure related to Shannon's information entropy. Extensive computer simulations were done, as a result of which, is proposed an ansatz for physical complexity of the type C(l)=lα and the dependence of the exponent α from the parameters of the model is established. The accuracy of our results and the relationship with the behavior of mutual information function as a measure of time correlation of agents choice are discussed.

Keywords: Minority game; Entropy; Physical complexity; Mutual information function (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:284:y:2000:i:1:p:478-488

DOI: 10.1016/S0378-4371(00)00227-2

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