Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise

Details Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise

2001-06-29

arxiv.org/abs/cond-mat/0106635v2

Physics

Condensed Matter

Disordered Systems and Neural Networks

14 pages LaTeX, 8 postscript figures, in PRE style (minor textual changes in revision)

Scientific paper

10.1103/PhysRevE.65.016126

We study the dynamics of a version of the batch minority game, with random external information and with different types of inhomogeneous decision noise (additive and multiplicative), using generating functional techniques \`{a} la De Dominicis. The control parameters in this model are the ratio $\alpha=p/N$ of the number $p$ of possible values for the external information over the number $N$ of trading agents, and the statistical properties of the agents' decision noise parameters. The presence of decision noise is found to have the general effect of damping macroscopic oscillations, which explains why in certain parameter regions it can effectively reduce the market volatility, as observed in earlier studies. In the limit $N\to\infty$ we (i) solve the first few time steps of the dynamics (for any $\alpha$), (ii) calculate the location $\alpha_c$ of the phase transition (signaling the onset of anomalous response), and (iii) solve the statics for $\alpha>\alpha_c$. We find that $\alpha_c$ is not sensitive to additive decision noise, but we arrive at non-trivial phase diagrams in the case of multiplicative noise. Our theoretical results find excellent confirmation in numerical simulations.

Affiliated with

Also associated with

No associations

Rating

Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Dynamics of the Batch Minority Game with Inhomogeneous Decision Noise will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-331221