Dynamics of adaptive agents with asymmetric information

DOI10.1088/1742-5468/2005/08/P08008zbMATH Open1456.91134arXivcond-mat/0505771OpenAlexW2000002934MaRDI QIDQ4968871FDOQ4968871

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)

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.

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

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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)

Cites Work

• New method for studying the dynamics of disordered spin systems without finite-size effects
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• Statistical mechanics of asset markets with private information
• Dynamics of a spherical minority game
• Broken ergodicity and memory in the minority game

Cited In (4)

• On the strategy frequency problem in batch Minority Games
• Reinforcement-based adaptive learning in asymmetric two-person bargaining with incomplete information
• A random asymmetric temporal model of multi-agent interactions: dynamical analysis
• Stationary states of a spherical Minority Game with ergodicity breaking

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