Diffusion and localization of relative strategy scores in the minority game

DOI10.1007/S10955-016-1607-8zbMATH Open1353.82031arXiv1509.08236OpenAlexW2252790015WikidataQ59474232 ScholiaQ59474232MaRDI QIDQ503379FDOQ503379

Mats Granath, Alvaro Perez-Diaz

Publication date: 12 January 2017

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We study the equilibrium distribution of relative strategy scores of agents in the asymmetric phase ($alphaequivP/Ngtrsim1$) of the basic Minority Game using sign-payoff, with $N$ agents holding two strategies over $P$ histories. We formulate a statistical model that makes use of the gauge freedom with respect to the ordering of an agent's strategies to quantify the correlation between the attendance and the distribution of strategies. The relative score $xinmathbbZ$ of the two strategies of an agent is described in terms of a one dimensional random walk with asymmetric jump probabilities, leading either to a static and asymmetric exponential distribution centered at $x=0$ for fickle agents or to diffusion with a positive or negative drift for frozen agents. In terms of scaled coordinates $x/sqrtN$ and $t/N$ the distributions are uniquely given by $alpha$ and in quantitative agreement with direct simulations of the game. As the model avoids the reformulation in terms of a constrained minimization problem it can be used for arbitrary payoff functions with little calculational effort and provides a transparent and simple formulation of the dynamics of the basic Minority Game in the asymmetric phase.

Full work available at URL: https://arxiv.org/abs/1509.08236

zbMATH Keywords

agent based modelsminority gamemarket dynamics

Mathematics Subject Classification ID

Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) (n)-person games, (n>2) (91A06)

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Cited In (4)

• A stochastic strategy for the minority game
• Statistical properties of the attendance time series in the minority game
• The local minority game
• Minority game with local interactions due to the presence of herding behavior

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