Real payoffs and virtual trading in agent based market models

Physica A: Statistical Mechanics and its Applications

Volumn 345, Issue 3-4, 2005, Pages 657-675

  Ferreira, Fernando F ^a   Marsili, Matteo ^a  

^a ABDUS SALAM INTERNATIONAL CENTRE FOR THEORETICAL PHYSICS   (Italy)

Author keywords

Game; Majority game; Minority game; Round trip transaction and Mixed Agent based Models

Indexed keywords

DECISION MAKING; FUNCTIONS; LARGE SCALE SYSTEMS; MARKETING; MICROSCOPIC EXAMINATION; PERFORMANCE; STATISTICAL METHODS; STRATEGIC PLANNING;

$-GAME; MAJORITY GAMES; MINORITY GAMES (MG); ROUND-TRIP TRANSACTION AND MIXED AGENT-BASED MODELS;

GAME THEORY;

EID: 9644268901     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(04)00981-1     Document Type: Article

References (16)

1. D. Challet, Y.-C. Zhang, Emergence of cooperation and organization in an evolutionary game, Physica A 246 (1997) 407-418.
2. Web site with a nice collection of papers and preprints on econophysics; http://www.unifr.ch/econophysics.
3. J.V. Andersen, D. Sornette, The $-game, Eur. Phys. J. B 31 (2003) 141-145.
4. P. Jefferies, N.F. Johnson, Designing agent-based market model, cond-mat/0207523.
5. N.F. Johnson, P. Jefferies, P.M. Hui, Financial Market Complexity, Oxford University Press, Oxford, 2003.
6. M. Marsili, Market mechanism and expectation in minority and majority games, Physica A 299 (2001) 93-103.
7. http://www.scs.carleton.ca/dquesnel/papers/debruijn/paper.html This is a nice introdution of De Bruijn graph.
8. R. Savit, et al., Adaptive competition, market efficiency, phase transitions, Phys. Rev. Lett. 82 (10) (1999) 2203.
9. A. De Martino, I. Giardina, G. Mosetti, Statistical mechanics of the mixed majority-minority game with random external, cond-mat/0305625.
10. D. Challet, Y.C. Zhang, On the minority game: analytical and numerical studies, Physica A 256 (1998) 514-532.
11. P. Kozlowski, M. Marsili, Statistical mechanics of majority game, J. Phys. A 36 (2003) 11725.
12. D. Challet, M. Marsili, R. Zecchina, Phys. Rev. Lett. 84 (2000) 1824; M. Marsili, D. Challet, R. Zecchina, Physica A 280 (2000) 522.
13. D. Challet, M. Marsili, R. Zecchina, Phys. Rev. Lett. 84 (2000) 1824; M. Marsili, D. Challet, R. Zecchina, Physica A 280 (2000) 522.
14. J. Berg, et al., Statistical mechanics of asset markets with private information, Quant. Fin. 1 (2001) 203-211.
15. A. Cavagna, Irrelevance of memory in the minority game, Phys. Rev. E 59 (1999) R3783.
16. I. Giardina, J.-P. Bouchaud, M. Mezard, Microscopic models for long ranged volatility correlations, Physica A 299 (2001) 28-39