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Volatility and Agent Adaptability in a Self-Organizing Market | | N.F. Johnson
; S. Jarvis
; R. Jonson P. Cheung
; Y.R. Kwong
; P.M. Hui
; | | Date: |
17 Feb 1998 | | Subject: | Condensed Matter; Adaptation and Self-Organizing Systems | cond-mat adap-org nlin.AO | | Affiliation: | Oxford University, UK) P. Cheung, Y.R. Kwong, and P.M. Hui (Chinese University of Hong Kong, HK | | Abstract: | We present results for the so-called `bar-attendance’ model of market behavior: $p$ adaptive agents, each possessing $n$ prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is $s$. The global attendance time-series has a mean near, but not equal to, $s$. The variance, or `volatility’, can show a minimum with increasing adaptability of the individual agents. | | Source: | arXiv, cond-mat/9802177 | | Services: | Forum | Review | PDF | Favorites | |
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