In this paper a minority game （MG） is modified by adding into it some agents who play a majority game. Such a game is referred to as a mix-game. The highlight of this model is that the two groups of agents in the mi...In this paper a minority game （MG） is modified by adding into it some agents who play a majority game. Such a game is referred to as a mix-game. The highlight of this model is that the two groups of agents in the mix-game have different bounded abilities to deal with historical information and to count their own performance. Through simulations, it is found that the local volatilities change a lot by adding some agents who play the majority game into the MG, and the change of local volatilities greatly depends on different combinations of historical memories of the two groups. Furthermore, the analyses of the underlying mechanisms for this finding are made. The applications of mix-game mode are also given as an example.展开更多
In real financial markets there are two kinds of traders： one is fundamentalist, and the other is a trend-follower. The mix-game model is proposed to mimic such phenomena. In a mix-game model there are two groups of ...In real financial markets there are two kinds of traders： one is fundamentalist, and the other is a trend-follower. The mix-game model is proposed to mimic such phenomena. In a mix-game model there are two groups of agents： Group 1 plays the majority game and Group 2 plays the minority game. In this paper, we investigate such a case that some traders in real financial markets could change their investment behaviours by assigning the evolutionary abilities to agents： if the winning rates of agents are smaller than a threshold, they will join the other group; and agents will repeat such an evolution at certain time intervals. Through the simulations, we obtain the following findings： （i） the volatilities of systems increase with the increase of the number of agents in Group 1 and the times of behavioural changes of all agents; （ii） the performances of agents in both groups and the stabilities of systems become better if all agents take more time to observe their new investment behaviours; （iii） there are two-phase zones of market and non-market and two-phase zones of evolution and non-evolution; （iv） parameter configurations located within the cross areas between the zones of markets and the zones of evolution are suited for simulating the financial markets.展开更多
文摘In this paper a minority game （MG） is modified by adding into it some agents who play a majority game. Such a game is referred to as a mix-game. The highlight of this model is that the two groups of agents in the mix-game have different bounded abilities to deal with historical information and to count their own performance. Through simulations, it is found that the local volatilities change a lot by adding some agents who play the majority game into the MG, and the change of local volatilities greatly depends on different combinations of historical memories of the two groups. Furthermore, the analyses of the underlying mechanisms for this finding are made. The applications of mix-game mode are also given as an example.
基金Project supported by the Scientific Research Foundation for the Returned Overseas Chinese Scholars,State Education Ministry of China
文摘In real financial markets there are two kinds of traders： one is fundamentalist, and the other is a trend-follower. The mix-game model is proposed to mimic such phenomena. In a mix-game model there are two groups of agents： Group 1 plays the majority game and Group 2 plays the minority game. In this paper, we investigate such a case that some traders in real financial markets could change their investment behaviours by assigning the evolutionary abilities to agents： if the winning rates of agents are smaller than a threshold, they will join the other group; and agents will repeat such an evolution at certain time intervals. Through the simulations, we obtain the following findings： （i） the volatilities of systems increase with the increase of the number of agents in Group 1 and the times of behavioural changes of all agents; （ii） the performances of agents in both groups and the stabilities of systems become better if all agents take more time to observe their new investment behaviours; （iii） there are two-phase zones of market and non-market and two-phase zones of evolution and non-evolution; （iv） parameter configurations located within the cross areas between the zones of markets and the zones of evolution are suited for simulating the financial markets.
