Volatility and agent adaptability in a self-organizing market
| Autor: | Y.R. Kwong, Pak Ming Hui, S. Jarvis, P. Cheung, Neil F. Johnson, R. Jonson |
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| Rok vydání: | 1998 |
| Předmět: |
Statistics and Probability
media_common.quotation_subject Condensed Matter (cond-mat) Attendance FOS: Physical sciences Statistical and Nonlinear Physics Condensed Matter Nonlinear Sciences - Adaptation and Self-Organizing Systems Adaptability Market behavior Econometrics Volatility (finance) Adaptation and Self-Organizing Systems (nlin.AO) Adaptive agents Mathematics media_common |
| Zdroj: | Physica A: Statistical Mechanics and its Applications. 258:230-236 |
| ISSN: | 0378-4371 |
| DOI: | 10.1016/s0378-4371(98)00227-1 |
| Popis: | We present results for the so-called `bar-attendance' model of market behavior: $p$ adaptive agents, each possessing $n$ prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is $s$. The global attendance time-series has a mean near, but not equal to, $s$. The variance, or `volatility', can show a minimum with increasing adaptability of the individual agents. 8 pages, 3 figs. n.johnson@physics.ox.ac.uk, pmhui@phy.cuhk.edu.hk |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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