Agents Play Mix-game
arXiv:physics/0505112 · doi:10.1007/978-88-470-0502-0_12
Abstract
In mix-game which is an extension of minority game, there are two groups of agents; group1 plays the majority game, but the group2 plays the minority game. This paper studies the change of the average winnings of agents and volatilities vs. the change of mixture of agents in mix-game model. It finds that the correlations between the average winnings of agents and the mean of local volatilities are different with different combinations of agent memory length when the proportion of agents in group 1 increases. This study result suggests that memory length of agents in group1 be smaller than that of agent in group2 when mix-game model is used to simulate the financial markets.
8 pages, 6 figures, 3 tables
References in corpus (10)
- Emergence of Cooperation and Organization in an Evolutionary Game
- Market force, ecology and evolution
- A Langevin Approach to Stock Market Fluctuations and Crashes
- Bubbles, crashes and intermittency in agent based market models
- The $-game
- Statistical mechanics of the mixed majority-minority game with random external information
- Dynamics of the Time Horizon Minority Game
- Dynamical spin-glass-like behavior in an evolutionary game
- Designing agent-based market models
- Dynamical Minority Games in Futures Exchange Markets