An investigation of crash avoidance in a complex system

DOI10.1016/S0378-4371(02)01381-XMaRDI QIDQ1847484zbMATH OpenOpenAlexFDO

Authors Michael L. Hart, David Lamper, Neil F. Johnson

Publication date 26 November 2002

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0207588

zbMATH Keywords

immunizationgrand canonical minorit gameMarkov-chain description

Mathematics Subject Classification ID

Other game-theoretic models (91A40)

Abstract: Complex systems can exhibit unexpected large changes, e.g. a crash in a financial market. We examine the large endogenous changes arising within a non-trivial generalization of the Minority Game: the Grand Canonical Minority Game (GCMG). Using a Markov Chain description, we study the many possible paths the system may take. This 'many-worlds' view not only allows us to predict the start and end of a crash in this system, but also to investigate how such a crash may be avoided. We find that the system can be 'immunized' against large changes: by inducing small changes today, much larger changes in the future can be prevented.

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Cites work

• scientific article; zbMATH DE number 53571 (Why is no real title available?)
• Dynamics of the time horizon minority game
• Elements for a theory of financial risks
• Mixed population minority game with generalized strategies

Cited in

(3)

• Financial crises and interacting heterogeneous agents
• Minority games with finite score memory
• System crash as dynamics of complex networks

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