Multi-asset minority games Export

@article{citeulike:5061151, 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.}, author = {Bianconi, G. and De Martino, A. and Ferreira, F. F. and Marsili, M.}, citeulike-article-id = {5061151}, citeulike-linkout-0 = {http://dx.doi.org/10.1080/14697680701253039}, citeulike-linkout-1 = {http://www.informaworld.com/smpp/content~db=all~content=a791789721}, doi = {10.1080/14697680701253039}, journal = {Quantitative Finance}, keywords = {finance, games, minority, physics, statistical}, number = {3}, pages = {225--231}, posted-at = {2009-07-05 06:29:53}, priority = {2}, publisher = {Routledge}, title = {Multi-asset minority games}, url = {http://dx.doi.org/10.1080/14697680701253039}, volume = {8}, year = {2008} }

TY - JOUR ID - citeulike:5061151 L3 - citeulike-article-id:5061151 N2 - 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. IS - 3 JF - Quantitative Finance EP - 231 TI - Multi-asset minority games PB - Routledge VL - 8 SP - 225 KW - finance KW - games KW - minority KW - physics KW - statistical AU - Bianconi, G AU - De Martino, A AU - Ferreira, FF AU - Marsili, M PY - 2008/// UR - http://dx.doi.org/10.1080/14697680701253039 ER -