Dynamics of adaptive agents with asymmetric information

Authored by T Galla, A De Martino

Date Published: 2005-08

DOI: 10.1088/1742-5468/2005/08/p08008

Sponsors: European Union Abdus Salam ICTP

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

Abstract

We apply path integral techniques to study the dynamics of agent-based models with asymmetric information structures. In particular, we devise a batch version of a model proposed originally by Berg et al (2001 Quantitative Finance 1 203), and convert the coupled multi-agent processes into an effective-agent problem from which the dynamical order parameters in ergodic regimes can be derived self-consistently together with the corresponding phase structure. Our dynamical study complements and extends the available static theory. Results are confirmed by numerical simulations.

Tags

interacting agent models disordered systems (theory)