Dynamics of adaptive agents with asymmetric information

DOI10.1088/1742-5468/2005/08/P08008MaRDI QIDQ4968871zbMATHOpenAlexFDO

Authors Andrea De Martino, Tobias Galla

Publication date 9 July 2019

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0505771

zbMATH Keywords

disordered systems (theory)interacting agent models

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Statistical mechanics of random media, disordered materials (including liquid crystals and spin glasses) (82D30) Financial applications of other theories (91G80) Basic methods in statistical mechanics (82M99)

Abstract: We apply path-integral techniques to study the dynamics of agent-based models with asymmetric information structures. In particular, we devise a batch version of a model proposed originally by Berg et al. [Quant. Fin. 1 (2001) 203], and convert the coupled multi-agent processes into an effective-agent problem from which the dynamical order parameters in ergodic regimes can be derived self-consistently together with the corresponding phase structure. Our dynamical study complements and extends the available static theory. Results are confirmed by numerical simulations.

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Cites work

• scientific article; zbMATH DE number 2118872 (Why is no real title available?)
• scientific article; zbMATH DE number 2212838 (Why is no real title available?)
• Broken ergodicity and memory in the minority game
• Dynamics of a spherical minority game
• New method for studying the dynamics of disordered spin systems without finite-size effects
• Statistical mechanics of asset markets with private information

Cited in

(5)

• Reinforcement-based adaptive learning in asymmetric two-person bargaining with incomplete information
• Proactive communicating process with asymmetry in multiagent systems
• A random asymmetric temporal model of multi-agent interactions: dynamical analysis
• Stationary states of a spherical minority game with ergodicity breaking
• On the strategy frequency problem in batch minority games

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