Theory of agent-based market models with controlled levels of greed and anxiety

Details Theory of agent-based market models with controlled levels of greed and anxiety Theory of agent-based market models with controlled levels of greed and anxiety

2009-08-06

arxiv.org/abs/0908.0809v1

Physics

Physics and Society

30 pages, 10 figures

Scientific paper

We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading, and their vigor in each, depends on the overall state of the market. Even in `fake history' models, the theory now involves an effective overall bid process (coupled to the effective agent process) which can exhibit profound remanence effects and new phase transitions. For some models the bid process can be solved directly, others require Maxwell-construction type approximations.

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