Statistical mechanics of the majority game

Kozłowski, P.; Marsili, Matteo

doi:10.1088/0305-4470/36/47/002

Cited by 19 publications

(25 citation statements)

References 14 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…A detailed analysis clarifies that the spikes in A(t) occur in coordi- nation with the transmission of a particular information pattern ν to which the market responds by generating large excess demands. This phenomenon is reminiscent of the retrieval of stored patterns in neural networks, and was also found in >-games [21], although in the present case A(t) is not of order √ N . However, the 'recalled' pattern ν changes with time, and each pattern can be 'active' for many time steps in a row and then quiesce for just as long during a single run.…”

supporting

confidence: 64%

Generalized minority games with adaptive trend-followers and contrarians

et al. 2004

View full text Add to dashboard Cite

We introduce a simple extension of the minority game in which the market rewards contrarian (resp. trend-following) strategies when it is far from (resp. close to) efficiency. The model displays a smooth crossover from a regime where contrarians dominate to one where trend-followers dominate. In the intermediate phase, the stationary state is characterized by non-Gaussian features as well as by the formation of sustained trends and bubbles.PACS numbers: 89.65. Gh, 05.70.Fh Financial markets are known to generate non-trivial fluctuation phenomena [1,2] that are qualitatively reproduced by several models where agents with prescribed trading rules interact through a complex mechanism of price formation [3,4,5,6,7]. Originally devised to get a more fundamental grasp on the critical behavior of systems of heterogeneous agents, the minority game [8] was able to capture some of the complex macroscopic phenomenology of markets starting from primitive microscopic ingredients [9,10,11], clarifying the roles of different factors contributing to the complexity of market dynamics. Still, many important issues escape a more basic investigation.One of these is the interaction of different types of agents. Broadly speaking, traders can be divided in two groups, namely contrarians (or fundamentalists) and trend-followers (or chartists). The former believe that the market is close to a stationary state and buy (sell) when they repute the stock to be underpriced (overpriced), thus inducing anti-correlation in market returns and holding the price close to its 'fundamental' value. The latter, instead, extrapolate trends from recent price increments and buy or sell assuming that the next increment will occur in the direction of the trend, thus creating positive return correlations and large price drifts ('bubbles'). Chartist behavior, which can also be driven by imitation, is known to cause market instability [6,12]. Fundamentalists act instead as a restoring force that dumps market inefficiencies and excess volatility. It has been argued [12,13] that contrarians (trend followers) are described by minority (majority) game players (but see also [14,15]), and the analysis of mixed majority-minority games has shown that the presence of trend followers can severely alter the market's efficiency [16]. However, agents in these models are committed to either one of the types, and switching from one group to the other, a key feature in other models [6], is not allowed.Here we introduce a class of market games that bypasses this limitation. We assume that trend-following behavior dominates when price movements are small, as agents try to anticipate trends, whereas traders turn to a contrarian conduct when the market becomes chaotic. This mechanism causes a 'feedback' in the dynamics of the excess demand: when it is small, trend-followers dominate and drive it to larger values; but once it has become sufficiently large, contrarians take over and drive it back to smaller values by inducing anti-correlations. In this way, it is the market tha...

show abstract

supporting

confidence: 64%

Generalized minority games with adaptive trend-followers and contrarians

et al. 2004

View full text Add to dashboard Cite

show abstract

“…Because of this, further discussions of vendace growth in the current paper and comparisons of it with data from other authors are restricted to the results obtained with the second degree polynomial. This model was also the closest to the empirical data with regard to vendace from Lake Hañcza (Koz³owski et al 2008). …”

Section: Discussionmentioning

confidence: 64%

Age and growth of vendace, Coregonus albula (L.), from Lake Wigry (northeast Poland)

Kozłowski¹,

Kozłowski²,

Poczyczyński³

et al. 2010

Archives of Polish Fisheries

View full text Add to dashboard Cite

Abstract. The aim of the study was to determine the age and length growth rates of vendace, Coregonus albula (L.), from Lake Wigry (northeastern Poland). Fish were captured from 2001 to 2005 in the months of August and September. The most frequent age group in the catches was 2+, which comprised 53% of all fish caught. Growth was determined using Dahl-Lee and Rosa Lee back-calculation methods. These were the basis for calculating mathematical growth rate models. The growth that best corresponded with the empirical data was that calculated with a second-degree polynomial model based on Rosa Lee back-calculations. Fish aged 3+ were characterized by average length growth and attained a mean body length (SL) of 17.2 cm.

show abstract

“…The above conclusion that Majority Games generate huge fluctuations is rather intuitive. However the full Majority Game turns out to be a surprisingly rich model [67]. It is defined by the following setup:…”

Section: The Majority Gamementioning

confidence: 99%

“…The calculation has been carried out in [67] under the assumption that the two strategies of the same agent can be to some degree correlated, which is allowed if one takes the disorder distribution…”

Section: The Majority Gamementioning

confidence: 99%

Statistical mechanics of socio-economic systems with heterogeneous agents

Martino¹,

Marsili²

2006

J. Phys. A: Math. Gen.

View full text Add to dashboard Cite

Abstract.We review the statistical mechanics approach to the study of the emerging collective behavior of systems of heterogeneous interacting agents. The general framework is presented through examples is such contexts as ecosystem dynamics and traffic modeling. We then focus on the analysis of the optimal properties of large random resource-allocation problems and on Minority Games and related models of speculative trading in financial markets, discussing a number of extensions including multi-asset models, Majority Games and models with asymmetric information. Finally, we summarize the main conclusions and outline the major open problems and limitations of the approach.

show abstract

Statistical mechanics of the majority game

Cited by 19 publications

References 14 publications

Generalized minority games with adaptive trend-followers and contrarians

Generalized minority games with adaptive trend-followers and contrarians

Age and growth of vendace, Coregonus albula (L.), from Lake Wigry (northeast Poland)

Statistical mechanics of socio-economic systems with heterogeneous agents

Contact Info

Product

Resources

About