An investigation of crash avoidance in a complex system

Michael L Hart, David Lamper and Neil F Johnson

Physica A: Statistical Mechanics and its Applications, 2002, vol. 316, issue 1, 649-661

Abstract: Complex systems can exhibit unexpected large changes, e.g. a crash in a financial market. We examine the large endogenous changes arising within a non-trivial generalization of the minority game: the grand canonical minority game. Using a Markov-Chain description, we study the many possible paths the system may take. This ‘many-worlds’ view not only allows us to predict the start and end of a crash in this system, but also to investigate how such a crash may be avoided. We find that the system can be ‘immunized’ against large changes: by inducing small changes today, much larger changes in the future can be prevented.

Keywords: Complex adaptive systems; Econophysics; Agent-based models (search for similar items in EconPapers)
Date: 2002
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:316:y:2002:i:1:p:649-661

DOI: 10.1016/S0378-4371(02)01381-X

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