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The Simulation of Financial Markets by Agent-Based Mix-Game Models
Get PDFThis paper studies the simulation of financial markets using an agent-based mix-game model which is a variant of the minority game (MG). It specifies the spectra of parameters of mix-game models that fit financial markets by investigating the dynamic behaviors of mix-game models under a wide range of parameters. The main findings are (a) in order to approach efficiency, agents in a real financial market must be heterogeneous, boundedly rational and subject to asymmetric information; (b) an active financial market must be dominated by agents who play a minority game; otherwise, the market would die; (c) the system could be stable if agents who play a majority game have a faster learning rate than those who play a minority game; otherwise, the system could be unstable. The paper then induces the rules for simulating financial markets with mix-game models and gives an example. Finally, the appendix of this paper presents background information about \'El Farol bar\', MG and mix-games.Financial Markets, Simulation, Minority Game, Mix-Game
The Quantitative Relation between Stock Prices and Quantities of Tradable Stock Shares and Its Applications
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Design in Complex Systems: Individual Performance versus System Efficiency
No full textThis paper studies the correlations of the average winnings of agents and the volatilities of systems based on mix-game model which is an extension of minority game (MG). In mix-game, there are two groups of agents; group1 plays the majority game, but the group2 plays the minority game. The results show that the correlations between the average winnings of agents and the mean of local volatilities are different with different combinations of agents' memory lengths when the proportion of agents in group1 increases. The average winnings of agents can represent the average individual performance and the volatility of a system can represent the efficiency of the system. Therefore, these results imply that the combinations of agents' memory lengths largely influence the relation between the system efficiency and the average individual performance. These results could give some guidance in designing complex systems.
The Quantitative Relations between Stock Prices and Quantities of Tradable Stock Shares and Its Applications
No full textThis paper analyzes the quantitative relations between stock prices and quantities of tradable stock shares in Chinese stock markets at six time points by means of Exploratory Data Analysis (EDA) method. It is found the resulting formulae have the same structure but different parameters. This paper also uses these relationships in order to analyse the feasibility of policies for Chinese Government to sell the state-owned shares in Chinese stock markets.
Agents Play Mix-game
No full textIn mix-game which is an extension of minority game, there are two groups of agents; group1 plays the majority game, but the group2 plays the minority game. This paper studies the change of the average winnings of agents and volatilities vs. the change of mixture of agents in mix-game model. It finds that the correlations between the average winnings of agents and the mean of local volatilities are different with different combinations of agent memory length when the proportion of agents in group 1 increases. This study result suggests that memory length of agents in group1 be smaller than that of agent in group2 when mix-game model is used to simulate the financial markets.
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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