Volatility and agent adaptability in a self-organizing market

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.

MoreLess

Year of publication:	1998
Authors:	Johnson, N.F. ; Jarvis, S. ; Jonson, R. ; Cheung, P. ; Kwong, Y.R. ; Hui, P.M.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 258.1998, 1, p. 230-236
Publisher:	Elsevier
Subject:	Adaptive systems \| Agents \| Self-organization

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011062329