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Multi-asset minority games

[journal article]

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

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Please use the following Persistent Identifier (PID) to cite this document:http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221027

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Abstract 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.
Classification Basic Research, General Concepts and History of Economics; Economic Statistics, Econometrics, Business Informatics
Free Keywords Econophysics; Agent Based Modelling; Complexity in Finance; Bound Rationality
Document language English
Publication Year 2008
Page/Pages p. 225-231
Journal Quantitative Finance, 8 (2008) 3
DOI http://dx.doi.org/10.1080/14697680701253039
Status Postprint; reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)
Document Type journal article
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