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arXiv physics/0603152physics.soc-phcond-mat.dis-nnq-fin.TR
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多资产少数人博弈

Multi-asset minority games

Ginestra Bianconi, Andrea De Martino, Fernando F. Ferreira, Matteo Marsili

摘要:

我们研究分析和数字少数民族游戏中,代理人可能会投资于不同的资产(或市场),考虑到规范和大规范版本。我们发现,代理商交易给定资产的可能性取决于该市场中可用信息的相对数量。更具体地说,在规范博弈中,参与者优先选择信息较少的股票。这同样适用于大典博弈中,当代理人有积极的交易动机时,而当代理人的回报仅与他们的投机能力有关时,他们表现出更大的倾向于投资于信息丰富的资产。此外,在这个模型中,人们发现一个全球可预测的阶段与打破遍历。

英文摘要:

We study analytically and numerically Minority Games in which agents may invest in different assets (or markets), considering both the canonical and the grand-canonical versions. We find that the likelihood of agents trading in a given asset depends on the relative amount of information available in that market. More specifically, in the canonical game players play preferentially in the stock with less information. The same holds in the grand canonical game when agents have positive incentives to trade, whereas when agents payoff are solely related to their speculative ability they display a larger propensity to invest in the information-rich asset. Furthermore, in this model one finds a globally predictable phase with broken ergodicity.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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