Dynamics of multi-frequency minority games

Abstract

The dynamics of minority games with agents trading on different time scales is studied via dynamical mean-field theory. We analyze the case where the agents' decision-making process is deterministic and its stochastic generalization with finite heterogeneous learning rates. In each case, we characterize the macroscopic properties of the steady states resulting from different frequency and learning rate distributions and calculate the corresponding phase diagrams. Finally, the different roles played by regular and occasional traders, as well as their impact on the system's global efficiency, are discussed.

9 pages, 5 figures

References in corpus (6)

• Bubbles, crashes and intermittency in agent based market models
• Generating Functional Analysis of the Dynamics of the Batch Minority Game with Random External Information
• Continuum time limit and stationary states of the Minority Game
• Statistical mechanics of the mixed majority-minority game with random external information
• Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise
• Colored minority games

Cited by in corpus (8)

• Minority Games with heterogeneous timescales
• Statistical Mechanics of Competitive Resource Allocation using Agent-based Models
• Strategy correlations and timing of adaptation in Minority Games
• Scale-free memory model for multiagent reinforcement learning. Mean field approximation and rock-paper-scissors dynamics
• Dynamics of adaptive agents with asymmetric information
• Statistical Mechanics of Dilute Batch Minority Games with Random External Information
• Diversity of scales makes an advantage: The case of the Minority Game
• Multifractal regime transition in a modified minority game model