P Papadopoulos and A C C Coolen 2010 J. Phys. A: Math. Theor. 43 025005 doi:10.1088/1751-8113/43/2/025005
Theory of agent-based market models with controlled levels of greed and anxiety
P Papadopoulos and A C C Coolen
Show affiliationsWe use generating functional analysis to study minority-game-type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend-following and contrarian trading, and their vigor in each, depends on the overall state of the market. Even in 'fake history' models, the theory now involves an effective overall bid process (coupled to the effective agent process) which can exhibit profound remanence effects and new phase transitions. For some models the bid process can be solved directly, others require Maxwell-construction-type approximations.
- PACS
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89.65.Gh Economics; econophysics, financial markets, business and management
- MSC
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91B28 Finance, portfolios, investment
91B26 Market models (auctions, bargaining, bidding, selling, etc.)
- Subjects
- Dates
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Issue 2 (15 January 2010)
Received 6 August 2009, in final form 5 November 2009
Published 10 December 2009
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Theory of agent-based market models with controlled levels of greed and anxiety
P Papadopoulos and A C C Coolen 2010 J. Phys. A: Math. Theor. 43 025005
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