Generating functional analysis of minority games with inner product strategy definitions

DOI10.1088/1751-8113/41/32/324005zbMATH Open1171.82338arXiv0712.0153OpenAlexW3100127874MaRDI QIDQ3523002FDOQ3523002

Publication date: 1 September 2008

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Abstract: We use generating functional methods to solve the so-called inner product versions of the minority game (MG), with fake and/or real market histories, by generalizing the theory developed recently for look-up table MGs with real histories. The phase diagrams of the lookup table and inner product MG versions are generally found to be identical, with the exception of inner product MGs where histories are sampled linearly, which are found to be structurally critical. However, we encounter interesting differences both in the theory (where the role of the history frequency distribution in lookup table MGs is taken over by the eigenvalue spectrum of a history covariance matrix in inner product MGs) and in the static and dynamic phenomenology of the models. Our theoretical predictions are supported by numerical simulations.

Full work available at URL: https://arxiv.org/abs/0712.0153

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Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical mechanics of random media, disordered materials (including liquid crystals and spin glasses) (82D30)

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