Volatility and Agent Adaptability in a Self-Organizing Market
arXiv:cond-mat/9802177 · doi:10.1016/S0378-4371(98)00227-1
Abstract
We present results for the so-called `bar-attendance' model of market behavior: adaptive agents, each possessing prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is . The global attendance time-series has a mean near, but not equal to, . The variance, or `volatility', can show a minimum with increasing adaptability of the individual agents.
8 pages, 3 figs. [email protected], [email protected]
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