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Multi-asset minority games

[Zeitschriftenartikel]

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

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):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.
Klassifikation Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter Econophysics; Agent Based Modelling; Complexity in Finance; Bound Rationality
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 225-231
Zeitschriftentitel Quantitative Finance, 8 (2008) 3
DOI http://dx.doi.org/10.1080/14697680701253039
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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