Crowd-anticrowd theory of multi-agent market games

M. Hart, P. Jefferies, P.M. Hui and N.F. Johnson
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M. Hart: Physics Department, Oxford University, Oxford, OX1 3PU, UK
P. Jefferies: Physics Department, Oxford University, Oxford, OX1 3PU, UK
P.M. Hui: Physics Department, Chinese University of Hong Kong, Shatin, Hong Kong, PR China
N.F. Johnson: Physics Department, Oxford University, Oxford, OX1 3PU, UK

The European Physical Journal B: Condensed Matter and Complex Systems, 2001, vol. 20, issue 4, 547-550

Abstract: Abstract: We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple, explanation for the variation of the standard deviation (`volatility') in MG-like games. We demonstrate this for the basic MG, and the MG with stochastic strategies. The time-dependent equations themselves reproduce the essential dynamics of the MG.

Keywords: PACS. 87.23.Ge Dynamics of social systems – 01.75.+m Science and societ – 02.50.Le Decision theory and game theory – 05.40.-a Fluctuation phenomena; random processes; noise; and Brownian motion (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s100510170237

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