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Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise  [PDF]
A. C. C. Coolen,J. A. F. Heimel,D. Sherrington
Quantitative Finance , 2001, DOI: 10.1103/PhysRevE.65.016126
Abstract: We study the dynamics of a version of the batch minority game, with random external information and with different types of inhomogeneous decision noise (additive and multiplicative), using generating functional techniques \`{a} la De Dominicis. The control parameters in this model are the ratio $\alpha=p/N$ of the number $p$ of possible values for the external information over the number $N$ of trading agents, and the statistical properties of the agents' decision noise parameters. The presence of decision noise is found to have the general effect of damping macroscopic oscillations, which explains why in certain parameter regions it can effectively reduce the market volatility, as observed in earlier studies. In the limit $N\to\infty$ we (i) solve the first few time steps of the dynamics (for any $\alpha$), (ii) calculate the location $\alpha_c$ of the phase transition (signaling the onset of anomalous response), and (iii) solve the statics for $\alpha>\alpha_c$. We find that $\alpha_c$ is not sensitive to additive decision noise, but we arrive at non-trivial phase diagrams in the case of multiplicative noise. Our theoretical results find excellent confirmation in numerical simulations.
Statistical Mechanics of Dilute Batch Minority Games with Random External Information  [PDF]
Tobias Galla
Statistics , 2004, DOI: 10.1088/1742-5468/2005/01/P01002
Abstract: We study the dynamics and statics of a dilute batch minority game with random external information. We focus on the case in which the number of connections per agent is infinite in the thermodynamic limit. The dynamical scenario of ergodicity breaking in this model is different from the phase transition in the standard minority game and is characterised by the onset of long-term memory at finite integrated response. We demonstrate that finite memory appears at the AT-line obtained from the corresponding replica calculation, and compare the behaviour of the dilute model with the minority game with market impact correction, which is known to exhibit similar features.
Influence of external information in the minority game  [PDF]
M. A. R. de Cara,F. Guinea
Physics , 2003, DOI: 10.1103/PhysRevE.68.066108
Abstract: The influence of a fixed number of agents with the same fixed behavior on the dynamics of the minority game is studied. Alternatively, the system studied can be considered the minority game with a change in the comfort threshold away from half filling. Agents in the frustrated, non ergodic phase tend to overreact to the information provided by the fixed agents, leading not only to large fluctuations, but to deviations of the average occupancies from their optimal values. Agents which discount their impact on the market, or which use individual strategies reach equilibrium states, which, unlike in the absence of the external information provided by the fixed agents, do not give the highest payoff to the collective.
Generating functional analysis of batch minority games with arbitrary strategy numbers  [PDF]
N. Shayeghi,A. C. C. Coolen
Physics , 2006, DOI: 10.1088/0305-4470/39/45/005
Abstract: Both the phenomenology and the theory of minority games (MG) with more than two strategies per agent are different from those of the conventional and extensively studied case S=2. MGs with $S>2$ exhibit nontrivial statistics of the frequencies with which the agents select from their available decision making strategies, with far-reaching implications. In the few theoretical MG studies with $S>2$ published so far, these statistics could not be calculated analytically. This prevented solution even in ergodic stationary states; equations for order parameters could only be closed approximately, using simulation data. Here we carry out a generating functional analysis of fake history batch MGs with arbitary values of $S$, and give an analytical solution of the strategy frequency problem. This leads to closed equations for order parameters in the ergodic regime, exact expressions for strategy selection statistics, and phase diagrams. Our results find perfect confirmation in numerical simulations.
Statistical mechanics of the mixed majority-minority game with random external information  [PDF]
A. De Martino,I. Giardina,G. Mosetti
Physics , 2003, DOI: 10.1088/0305-4470/36/34/302
Abstract: We study the asymptotic macroscopic properties of the mixed majority-minority game, modeling a population in which two types of heterogeneous adaptive agents, namely ``fundamentalists'' driven by differentiation and ``trend-followers'' driven by imitation, interact. The presence of a fraction f of trend-followers is shown to induce (a) a significant loss of informational efficiency with respect to a pure minority game (in particular, an efficient, unpredictable phase exists only for f<1/2), and (b) a catastrophic increase of global fluctuations for f>1/2. We solve the model by means of an approximate static (replica) theory and by a direct dynamical (generating functional) technique. The two approaches coincide and match numerical results convincingly.
Broken ergodicity and memory in the minority game  [PDF]
J. A. F. Heimel,A. De Martino
Quantitative Finance , 2001, DOI: 10.1088/0305-4470/34/40/103
Abstract: We study the dynamics of the `batch' minority game with market-impact correction using generating functional techniques to carry out the quenched disorder average. We find that the assumption of weak long-term memory, which one usually makes in order to calculate ergodic stationary states, breaks down when the persistent autocorrelation becomes larger than c_c=0.772... We show that this condition, remarkably, coincides with the AT-line found in an earlier static calculation. This result suggests a new scenario for ergodicity breaking in disordered systems.
Dynamics of a spherical minority game  [PDF]
T. Galla,A. C. C. Coolen,D. Sherrington
Mathematics , 2003, DOI: 10.1088/0305-4470/36/43/034
Abstract: We present an exact dynamical solution of a spherical version of the batch minority game (MG) with random external information. The control parameters in this model are the ratio of the number of possible values for the public information over the number of agents, and the radius of the spherical constraint on the microscopic degrees of freedom. We find a phase diagram with three phases: two without anomalous response (an oscillating versus a frozen state), and a further frozen phase with divergent integrated response. In contrast to standard MG versions, we can also calculate the volatility exactly. Our study reveals similarities between the spherical and the conventional MG, but also intriguing differences. Numerical simulations confirm our analytical results.
Time series analysis for minority game simulations of financial markets  [PDF]
Fernando F. Ferreira,Gerson Francisco,Birajara S. Machado,Paulsamy Muruganandam
Physics , 2002, DOI: 10.1016/S0378-4371(02)01733-8
Abstract: The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolut ion. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary.
Quenching and Annealing in the Minority Game  [PDF]
E. Burgos,Horacio Ceva,R. P. J. Perazzo
Physics , 2000, DOI: 10.1016/S0378-4371(01)00136-4
Abstract: We report the occurrence of quenching and annealing in a version of the Minority Game (MG) in which the winning option is to join a given fraction of the population that is a free, external parameter. We compare this to the different dynamics of the Bar Attendance Model (BAM) where the updating of the attendance strategy makes use of all available information about the system and quenching does not occur. We provide an annealing schedule by which the quenched configuration of the MG reaches equilibrium and coincides with the one obtained with the BAM
On the strategy frequency problem in batch Minority Games  [PDF]
A. De Martino,I. Perez Castillo,D. Sherrington
Physics , 2006, DOI: 10.1088/1742-5468/2007/01/P01006
Abstract: Ergodic stationary states of Minority Games with S strategies per agent can be characterised in terms of the asymptotic probabilities $\phi_a$ with which an agent uses $a$ of his strategies. We propose here a simple and general method to calculate these quantities in batch canonical and grand-canonical models. Known analytic theories are easily recovered as limiting cases and, as a further application, the strategy frequency problem for the batch grand-canonical Minority Game with S=2 is solved. The generalization of these ideas to multi-asset models is also presented. Though similarly based on response function techniques, our approach is alternative to the one recently employed by Shayeghi and Coolen for canonical batch Minority Games with arbitrary number of strategies.
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