Multi-market minority game: breaking the symmetry of choice

Details Multi-market minority game: breaking the symmetry of choice Multi-market minority game: breaking the symmetry of choice

2008-09-23

arxiv.org/abs/0809.3978v3

Adv.Complex Syst. 12:423-437,2009

Economy

Quantitative Finance

Trading and Market Microstructure

15 pages, 12 figures, Accepted to 'Advances in Complex Systems'

Scientific paper

10.1142/S0219525909002313

Generalization of the minority game to more than one market is considered. At each time step every agent chooses one of its strategies and acts on the market related to this strategy. If the payoff function allows for strong fluctuation of utility then market occupancies become inhomogeneous with preference given to this market where the fluctuation occured first. There exists a critical size of agent population above which agents on bigger market behave collectively. In this regime there always exists a history of decisions for which all agents on a bigger market react identically.

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