New continuous and stochastic extensions of the Minority Game, devised as a fundamental model for a market of competitive agents, are introduced and studied in the context of statistical physics. The new formulation reproduces the key features of the original model, without the need for some of its special assumptions and, most importantly, it demonstrates the crucial role of stochastic decision-making. Furthermore, this formulation provides the exact but novel nonlinear equations for the dynamics of the system.

The thermal minority game / Cavagna, Andrea; Garrahan Juan, P; Giardina, irene rosana; Sherrington, David. - In: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. - ISSN 0219-0249. - ELETTRONICO. - 3:3(2000), pp. 455-460. [10.1142/S0219024900000371]

The thermal minority game

GIARDINA, irene rosana;
2000

Abstract

New continuous and stochastic extensions of the Minority Game, devised as a fundamental model for a market of competitive agents, are introduced and studied in the context of statistical physics. The new formulation reproduces the key features of the original model, without the need for some of its special assumptions and, most importantly, it demonstrates the crucial role of stochastic decision-making. Furthermore, this formulation provides the exact but novel nonlinear equations for the dynamics of the system.
2000
Market microstructure; interacting agents; statistical mechanics
01 Pubblicazione su rivista::01a Articolo in rivista
The thermal minority game / Cavagna, Andrea; Garrahan Juan, P; Giardina, irene rosana; Sherrington, David. - In: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. - ISSN 0219-0249. - ELETTRONICO. - 3:3(2000), pp. 455-460. [10.1142/S0219024900000371]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/824054
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