Crowd-Anticrowd Theory of Multi-Agent Market Games

Details Crowd-Anticrowd Theory of Multi-Agent Market Games Crowd-Anticrowd Theory of Multi-Agent Market Games

2000-08-25

arxiv.org/abs/cond-mat/0008385v1

Physics

Condensed Matter

Presented at APFA2 (Liege) July 2000. Proceedings: Eur.Phys.J. B n.johnson@physics.ox.ac.uk

Scientific paper

10.1007/s100510170237

We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple, explanation for the variation of the standard deviation (`volatility') in MG-like games. We demonstrate this for the basic MG, and the MG with stochastic strategies. The time-dependent equations themselves reproduce the essential dynamics of the MG.

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