Dynamics of adaptive agents with asymmetric information

Details Dynamics of adaptive agents with asymmetric information Dynamics of adaptive agents with asymmetric information

2005-05-31

arxiv.org/abs/cond-mat/0505771v3

J. Stat. Mech. (2005) P08008

Physics

Condensed Matter

Disordered Systems and Neural Networks

minor revision of text, accepted by JSTAT

Scientific paper

10.1088/1742-5468/2005/08/P08008

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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