Crowd-anticrowd theory of multi-agent market games |
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| Authors: | M. Hart P. Jefferies P.M. Hui N.F. Johnson |
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| Affiliation: | (1) Physics Department, Oxford University, Oxford, OX1 3PU, UK, GB;(2) Physics Department, Chinese University of Hong Kong, Shatin, Hong Kong, PR China, HK |
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| 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. Received 28 August 2000 and Received in final form 23 September 2000 |
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| 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 |
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