Clustered Volatility in Multiagent Dynamics

Michael Youssefmir and Bernardo A. Huberman

Working Papers from Santa Fe Institute

Abstract: Large distributed multiagent systems are characterized by vast numbers of agents trying to gain access to limited resources in an unpredictable environment. Agents in these system continuously switch strategies in order to opportunistically find improvements in their utilities. We have analyzed the fluctuations around equilibrium that arise from strategy switching and discovered the existence of a new phenomenon. It consists of the appearance of sudden bursts of activity that punctuate the fixed point, and is due to an effective random walk consistent with overall stability. This clustered volatility is followed by relaxation to the fixed point but with different strategy mixes from the previous one. The phenomenon is quite general for systems in which agents explore strategies in search of local improvements.

Date: 1995-05
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:wop:safiwp:95-05-051

Access Statistics for this paper

More papers in Working Papers from Santa Fe Institute Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().