Phenomenology of Minority Games in Efficient Regime

Wawrzyniak, Karol; Wiślicki, W.

doi:10.1142/s0219525909002398

Cited by 5 publications

(11 citation statements)

References 18 publications

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“…E [A(x i )] = 0 (i = 1, ..., 4), since the same numbers of agents play according to strategies recommending opposite actions. Using formulas (16)(17)(18) we can find E [A] for all states (cf. Tab.…”

Section: Transitionmentioning

confidence: 99%

“…At any step of the game one can rank all pairwise different strategies as the best, second best, third best, etc. Sizes of fractions corresponding to these strategies are known [17,18]. An ordered list of indexes of different strategies, complemented by µ value, is sufficient to fully describe the game at a given moment and can be used as a characteristics of the state.…”

Section: The Concept Of the Statementioning

confidence: 99%

“…[19] for the step-like payoff. We found however that the linear payoff requires different definition [18]. In the mesoscopic approach we aggregated agents playing the same strategy into fractions, and treated the fraction as one player.…”

Section: Introductionmentioning

confidence: 99%

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Mesoscopic approach to minority games in herd regime

Wawrzyniak

Wiślicki

2012

Physica A: Statistical Mechanics and its Applications

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We study minority games in efficient regime. By incorporating the utility function and aggregating agents with similar strategies we develop an effective mesoscale notion of state of the game. Using this approach, the game can be represented as a Markov process with substantially reduced number of states with explicitly computable probabilities. For any payoff, the finiteness of the number of states is proved. Interesting features of an extensive random variable, called aggregated demand, viz. its strong inhomogeneity and presence of patterns in time, can be easily interpreted. Using Markov theory and quenched disorder approach, we can explain important macroscopic characteristics of the game: behavior of variance per capita and predictability of the aggregated demand. We prove that in case of linear payoff many attractors in the state space are possible.Comment: arXiv admin note: substantial text overlap with arXiv:0907.323

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Section: Transitionmentioning

confidence: 99%

Section: The Concept Of the Statementioning

confidence: 99%

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Mesoscopic approach to minority games in herd regime

Wawrzyniak

Wiślicki

2012

Physica A: Statistical Mechanics and its Applications

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“…In an efficient market, the stock prices can fully reflect all available information. An advantageous condition would lead to an increase in the stock prices and a disadvantageous condition would lead to a decrease in the stock prices, which results from people’s competition for limited resources [ 11 – 15 ]. People’s investment strategy plays an important role in the competition.…”

Section: Introductionmentioning

confidence: 99%

Market impact shapes competitive advantage of investment strategies in financial markets

Liu

2022

PLoS ONE

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The formation of an efficient market depends on the competition between different investment strategies, which accelerates all available information into asset prices. By incorporating market impact and two kinds of investment strategies into an agent-based model, we have investigated the coevolutionary mechanism of different investment strategies and the role of market impact in shaping a competitive advantage in financial markets. The coevolution of history-dependent strategies and reference point strategies depends on the levels of market impact and risk tolerance. For low market impact and low risk tolerance, the majority-win effect makes the trend-following strategies become dominant strategies. For high market impact and low risk tolerance, the minority-win effect makes the trend-rejecting strategies coupled with trend-following strategies become dominant strategies. The coupled effects of price fluctuations and strategy distributions have been investigated in depth. A U-shape distribution of history-dependent strategies is beneficial for a stable price, which is destroyed by the existence of reference point strategies with low risk tolerance. A δ-like distribution of history-dependent strategies leads to a large price fluctuation, which is suppressed by the existence of reference point strategies with high risk tolerance. The strategies that earn more in an inefficient market lose more in an efficient market. Such a result gives us another explanation for the principle of risk-profit equilibrium in financial markets: high return in an inefficient market should be coupled with high risk in an efficient market, low return in an inefficient market should be coupled with low risk in an efficient market.

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“…For a heterogeneous population, the different beliefs and strategies may lead to the different buying-selling actions, which may further lead to the slow changes of the prices [5,6,7,8,9,10,11]. Understanding the effects of homogeneous and heterogeneous population on the evolution of stock market is quite important for the risk management and the construction of an efficient market [12,13,14,15,16,17,18].…”

Section: Introductionmentioning

confidence: 99%

Evolutionary dynamics in financial markets with heterogeneities in strategies and risk tolerance

Xu,

Zhong,

Ren

et al. 2020

Preprint

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In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of the occurrence of such differences. By incorporating pair pattern strategies and reference point strategies into an agent-based model, we have investigated the coupled effects of heterogeneous investment strategies and heterogeneous risk tolerance on price fluctuations. In the market flooded with the investors with homogeneous investment strategies or homogeneous risk tolerance, large price fluctuations are easy to occur. In the market flooded with the investors with heterogeneous investment strategies or heterogeneous risk tolerance, the price fluctuations are suppressed. For a heterogeneous population, the coexistence of investors with pair pattern strategies and reference point strategies causes the price to have a slow fluctuation around a typical equilibrium point and both a large price fluctuation and a no-trading state are avoided, in which the pair pattern strategies push the system far away from the equilibrium while the reference point strategies pull the system

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Phenomenology of Minority Games in Efficient Regime

Cited by 5 publications

References 18 publications

Mesoscopic approach to minority games in herd regime

Mesoscopic approach to minority games in herd regime

Market impact shapes competitive advantage of investment strategies in financial markets

Evolutionary dynamics in financial markets with heterogeneities in strategies and risk tolerance

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