Dynamics of the time horizon minority game

Authored by NF Johnson, P Jefferies, ML Hart

Date Published: 2002-08-01

DOI: 10.1016/s0378-4371(02)00804-x

Sponsors: No sponsors listed

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

Abstract

We present numerical and analytic results for a new version of the minority game (MG) in which strategy performance is recorded over a finite time horizon. The dynamics of this time horizon minority game (THMG) exhibit many distinct features from the MG and depend strongly on whether the participants are fed real, or random, history strings. The THMG equations are equivalent to a Markov Chain, and yield exact analytic results for the volatility given a specific realization for the quenched strategy disorder. (C) 2002 Published by Elsevier Science B.V.

Tags

Agent-based models econophysics Complex adaptive systems