Minority games with finite score memory

We analyse grand canonical minority games with infinite and finite score memory and different updating timescales (from 'on-line' games to 'batch' games) with various complementary methods, both analytical (when possible) and numerical. We focus on the emergence of 'stylized facts' and on the production of exploitable information, as well as on the dynamic behaviour of the models. We find that no agent with finite score memory can be frozen in the steady state. As a consequence, traditional analytical tools do not allow for a complete characterization of the steady state and one must resort to Monte Carlo techniques for more insight.

[1]  Matteo Marsili,et al.  Replica symmetry breaking in the minority game , 2000 .

[2]  A. Coolen,et al.  Generating functional analysis of the dynamics of the batch minority game with random external information. , 2000, Physical review. E, Statistical, nonlinear, and soft matter physics.

[3]  R Mulet,et al.  Learning to coordinate in a complex and nonstationary world. , 2001, Physical review letters.

[4]  M Marsili,et al.  Phase transition and symmetry breaking in the minority game. , 1999, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.

[5]  Matteo Marsili,et al.  Minority Games and stylized facts , 2001 .

[6]  Yi-Cheng Zhang,et al.  Emergence of cooperation and organization in an evolutionary game , 1997 .

[7]  A. De Martino,et al.  LETTER TO THE EDITOR: Broken ergodicity and memory in the minority game , 2001 .

[8]  J. Farmer.  Market Force, Ecology, and Evolution , 1998, adap-org/9812005.

[9]  Opper,et al.  New method for studying the dynamics of disordered spin systems without finite-size effects. , 1992, Physical review letters.

[10]  P. M. Hui,et al.  From market games to real-world markets , 2001 .

[11]  Garrahan,et al.  Continuous time dynamics of the thermal minority game , 2000, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.

[12]  Michael L. Hart,et al.  An investigation of crash avoidance in a complex system , 2002 .

[13]  R. Gencay,et al.  An Introduc-tion to High-Frequency Finance , 2001 .

[14]  Anthony C. C. Coolen,et al.  Dynamical solution of the on-line minority game , 2001 .

[15]  Matteo Marsili,et al.  Criticality and market efficiency in a simple realistic model of the stock market. , 2002, Physical review. E, Statistical, nonlinear, and soft matter physics.

[16]  M Marsili,et al.  Continuum time limit and stationary states of the minority game. , 2001, Physical review. E, Statistical, nonlinear, and soft matter physics.

[17]  Stylized facts in minority games with memory: a new challenge , 2004, cond-mat/0401628.

[18]  Matteo Marsili,et al.  Modeling market mechanism with minority game , 1999, cond-mat/9909265.

[19]  Zecchina,et al.  Statistical mechanics of systems with heterogeneous agents: minority games , 1999, Physical review letters.