From Minority Game to Black&Scholes Pricing
نویسندگان
چکیده
منابع مشابه
Multi-Choices Minority Game
– The generalization of the problem of adaptive competition, known as the minority game, to the case of K possible choices for each player is addressed, and mapped onto a system of interacting perceptrons with input and output units of the type of K-states Potts-spins. An optimal solution of the minority game as well as the dynamical evolution of the adaptive strategies of the players are solve...
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The minority game (MG) is a simple yet effective binarydecision model which is well suited to study the collective emerging behaviour in a population of agents with bounded and inductive rationality when they have to compete, through adaptation, for scarce resources. The original formulation of the MG was inspired by the W.B. Arthur’s El Farol Bar problem in which a fixed number of people have ...
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The generalization of the problem of adaptive competition, known as the minority game, to the case of K possible choices for each player, is addressed, and applied to a system of interacting perceptrons with input and output units of a type of K-state Potts spins. An optimal solution of this minority game, as well as the dynamic evolution of the adaptive strategies of the players, are solved an...
متن کاملThe Minority Game with interactions
We partially modify the rules of the Minority Game (MG) by introducing some degree of local information in the game, which is only available for some agents, called the interacting agents. Our work shows that, for small values of the new parameter of the model (the fraction of interacting agents), there is an improvement of the use of the resources with respect to the MG, while as this number g...
متن کاملAlgorithmic Complexity in Minority Game
In this paper we introduce a new approach for the study of the complex behavior of Minority Game using the tools of algorithmic complexity, physical entropy and information theory. We show that physical complexity and mutual information function strongly depend on memory size of the agents and yields more information about the complex features of the stream of binary outcomes of the game than v...
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2013
ISSN: 1350-486X,1466-4313
DOI: 10.1080/1350486x.2013.787246