Dynamics of adaptive agents with asymmetric information
arXiv:cond-mat/0505771 · doi:10.1088/1742-5468/2005/08/P08008
Abstract
We apply path-integral techniques to study the dynamics of agent-based models with asymmetric information structures. In particular, we devise a batch version of a model proposed originally by Berg et al. [Quant. Fin. 1 (2001) 203], and convert the coupled multi-agent processes into an effective-agent problem from which the dynamical order parameters in ergodic regimes can be derived self-consistently together with the corresponding phase structure. Our dynamical study complements and extends the available static theory. Results are confirmed by numerical simulations.
minor revision of text, accepted by JSTAT
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