IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v284y2000i1p478-488.html
   My bibliography  Save this article

From naive to sophisticated behavior in multiagents-based financial market models

Author

Listed:
  • Mansilla, R

Abstract

The behavior of physical complexity and mutual information function of the outcome of a model of heterogeneous, inductive rational agents inspired by the El Farol Bar problem and the Minority Game is studied. The first magnitude is a measure rooted in the Kolmogorov–Chaitin theory and the second a measure related to Shannon's information entropy. Extensive computer simulations were done, as a result of which, is proposed an ansatz for physical complexity of the type C(l)=lα and the dependence of the exponent α from the parameters of the model is established. The accuracy of our results and the relationship with the behavior of mutual information function as a measure of time correlation of agents choice are discussed.

Suggested Citation

  • Mansilla, R, 2000. "From naive to sophisticated behavior in multiagents-based financial market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 478-488.
    • Handle: RePEc:eee:phsmap:v:284:y:2000:i:1:p:478-488
    DOI: 10.1016/S0378-4371(00)00227-2
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437100002272
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/S0378-4371(00)00227-2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Rustichini, A., 1998. "Sophisticated Players and Sophisticated Agents," Discussion Paper 1998-110, Tilburg University, Center for Economic Research.
    2. Erev, Ido & Roth, Alvin E, 1998. "Predicting How People Play Games: Reinforcement Learning in Experimental Games with Unique, Mixed Strategy Equilibria," American Economic Review, American Economic Association, vol. 88(4), pages 848-881, September.
    3. W. Brian Arthur, 1994. "Inductive Reasoning, Bounded Rationality and the Bar Problem," Working Papers 94-03-014, Santa Fe Institute.
    4. Rustichini, A., 1998. "Sophisticated Players and Sophisticated Agents," Other publications TiSEM de5b9fc1-8021-4255-8a80-5, Tilburg University, School of Economics and Management.
    5. Johnson, N.F. & Jarvis, S. & Jonson, R. & Cheung, P. & Kwong, Y.R. & Hui, P.M., 1998. "Volatility and agent adaptability in a self-organizing market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 258(1), pages 230-236.
    6. Arthur, W Brian, 1994. "Inductive Reasoning and Bounded Rationality," American Economic Review, American Economic Association, vol. 84(2), pages 406-411, May.
    7. Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Marsili, Matteo & Challet, Damien & Zecchina, Riccardo, 2000. "Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 522-553.
    2. Chmura, Thorsten & Pitz, Thomas, 2004. "Minority Game: Experiments and Simulations of Traffic Scenarios," Bonn Econ Discussion Papers 23/2004, University of Bonn, Bonn Graduate School of Economics (BGSE).
    3. Kets, W., 2007. "The Minority Game : An Economics Perspective," Other publications TiSEM 65d52a6a-b27d-45a9-93a7-e, Tilburg University, School of Economics and Management.
    4. Epstein, Daniel & Bazzan, Ana L.C., 2013. "The value of less connected agents in Boolean networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5387-5398.
    5. Kets, W., 2008. "Networks and learning in game theory," Other publications TiSEM 7713fce1-3131-498c-8c6f-3, Tilburg University, School of Economics and Management.
    6. Challet, Damien & Zhang, Yi-Cheng, 1998. "On the minority game: Analytical and numerical studies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(3), pages 514-532.
    7. Arthur Charpentier & Romuald Élie & Carl Remlinger, 2023. "Reinforcement Learning in Economics and Finance," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 425-462, June.
    8. Giulio Bottazzi & Giovanna Devetag, 2002. "Coordination and self-organization in minority games: experimental evidence," CEEL Working Papers 0215, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia.
    9. Rothenstein, R & Pawelzik, K, 2003. "Evolution and anti-evolution in a minimal stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 326(3), pages 534-543.
    10. Kristoufek, Ladislav & Vošvrda, Miloslav S., 2016. "Herding, minority game, market clearing and efficient markets in a simple spin model framework," FinMaP-Working Papers 68, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    11. Cross, Rod & Grinfeld, Michael & Lamba, Harbir & Seaman, Tim, 2005. "A threshold model of investor psychology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 463-478.
    12. Andersen, Jørgen Vitting & de Peretti, Philippe, 2021. "Heuristics in experiments with infinitely large strategy spaces," Journal of Business Research, Elsevier, vol. 129(C), pages 612-620.
    13. Ren, F. & Zhang, Y.C., 2008. "Trading model with pair pattern strategies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5523-5534.
    14. Zhigang Cao & Cheng-zhong Qin & Xiaoguang Yang & Boyu Zhang, 2019. "Dynamic matching pennies on networks," International Journal of Game Theory, Springer;Game Theory Society, vol. 48(3), pages 887-920, September.
    15. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical regularities of order placement in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3173-3182.
    16. Christoph Zott, 2002. "When Adaptation Fails," Journal of Conflict Resolution, Peace Science Society (International), vol. 46(6), pages 727-753, December.
    17. Chmura, T. & Pitz, T., 2006. "Successful strategies in repeated minority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 477-480.
    18. Alvarez-Ramirez, Jose & Suarez, Rodolfo & Ibarra-Valdez, Carlos, 2003. "Trading strategies, feedback control and market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 220-226.
    19. Yamada, Takashi & Hanaki, Nobuyuki, 2016. "An experiment on Lowest Unique Integer Games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 88-102.
    20. Luş, Hilmi & Onur Aydın, Cevat & Keten, Sinan & İsmail Ünsal, Hakan & Rana Atılgan, Ali, 2005. "El Farol revisited," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 651-656.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:284:y:2000:i:1:p:478-488. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.