dorsal/arxiv
View SchemaAgents Play Mix-game
| Authors | Chengling Gou |
|---|---|
| Categories | |
| ArXiv ID | physics/0505112 |
| URL | https://arxiv.org/abs/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.
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"abstract": "In mix-game which is an extension of minority game, there are two groups of\nagents; group1 plays the majority game, but the group2 plays the minority game.\nThis paper studies the change of the average winnings of agents and\nvolatilities vs. the change of mixture of agents in mix-game model. It finds\nthat the correlations between the average winnings of agents and the mean of\nlocal volatilities are different with different combinations of agent memory\nlength when the proportion of agents in group 1 increases. This study result\nsuggests that memory length of agents in group1 be smaller than that of agent\nin group2 when mix-game model is used to simulate the financial markets.",
"arxiv_id": "physics/0505112",
"authors": [
"Chengling Gou"
],
"categories": [
"physics.soc-ph",
"q-fin.TR"
],
"doi": "10.1007/978-88-470-0502-0_12",
"title": "Agents Play Mix-game",
"url": "https://arxiv.org/abs/physics/0505112"
},
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