کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9727524 | 1480202 | 2005 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Coordination, intermittency and trends in generalized minority games
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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چکیده انگلیسی
The Minority Game framework was recently generalized to account for the possibility that agents adapt not only through strategy selection but also by diversifying their response according to the kind of dynamical regime, or the risk, they perceive. Here we study the effects of this mechanism in different information structures. We show that both the stationary macroscopic properties and the dynamical features depend strongly on whether the information supplied to the system is exogenous ('random') or endogenous ('real'). In particular, in the latter case one observes that a small amount of herding tendency suffices to alter the collective behavior dramatically. In such cases, the dynamics is characterized by the creation and destruction of trends, accompanied by intermittent features like volatility clustering.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 358, Issues 2â4, 15 December 2005, Pages 529-544
Journal: Physica A: Statistical Mechanics and its Applications - Volume 358, Issues 2â4, 15 December 2005, Pages 529-544
نویسندگان
A. Tedeschi, A. De Martino, I. Giardina,