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Crowd-anticrowd theory of multi-agent market games

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Abstract:

We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple, explanation for the variation of the standard deviation (`volatility') in MG-like games. We demonstrate this for the basic MG, and the MG with stochastic strategies. The time-dependent equations themselves reproduce the essential dynamics of the MG.

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Authors and Affiliations

  1. Physics Department, Oxford University, Oxford, OX1 3PU, UK, , , , , , GB

    M. Hart, P. Jefferies & N.F. Johnson

  2. Physics Department, Chinese University of Hong Kong, Shatin, Hong Kong, PR China, , , , , , HK

    P.M. Hui

Authors
  1. M. Hart
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  2. P. Jefferies
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  3. P.M. Hui
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  4. N.F. Johnson
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Additional information

Received 28 August 2000 and Received in final form 23 September 2000

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Hart, M., Jefferies, P., Hui, P. et al. Crowd-anticrowd theory of multi-agent market games. Eur. Phys. J. B 20, 547–550 (2001). https://doi.org/10.1007/s100510170237

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  • DOI: https://doi.org/10.1007/s100510170237

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