Abstract
We present analytic and numerical results for two models, namely the minority model and the bar-attendance model, which offer simple paradigms for a competitive marketplace. Both models feature heterogeneous agents with bounded rationality who act using inductive reasoning. We find that the effects of crowding are crucial to the understanding of the macroscopic fluctuations, or `volatility', in the resulting dynamics of these systems.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1-8 |
| Number of pages | 8 |
| Journal | Physica A: Statistical Mechanics and its Applications |
| Volume | 269 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jul 1 1999 |
| Externally published | Yes |
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ASJC Scopus subject areas
- Mathematical Physics
- Statistical and Nonlinear Physics
Cite this
Crowd effects and volatility in markets with competing agents. / Johnson, Neil F; Hart, Michael; Hui, P. M.
In: Physica A: Statistical Mechanics and its Applications, Vol. 269, No. 1, 01.07.1999, p. 1-8.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Crowd effects and volatility in markets with competing agents
AU - Johnson, Neil F
AU - Hart, Michael
AU - Hui, P. M.
PY - 1999/7/1
Y1 - 1999/7/1
N2 - We present analytic and numerical results for two models, namely the minority model and the bar-attendance model, which offer simple paradigms for a competitive marketplace. Both models feature heterogeneous agents with bounded rationality who act using inductive reasoning. We find that the effects of crowding are crucial to the understanding of the macroscopic fluctuations, or `volatility', in the resulting dynamics of these systems.
AB - We present analytic and numerical results for two models, namely the minority model and the bar-attendance model, which offer simple paradigms for a competitive marketplace. Both models feature heterogeneous agents with bounded rationality who act using inductive reasoning. We find that the effects of crowding are crucial to the understanding of the macroscopic fluctuations, or `volatility', in the resulting dynamics of these systems.
UR - http://www.scopus.com/inward/record.url?scp=0032674633&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0032674633&partnerID=8YFLogxK
U2 - 10.1016/S0378-4371(99)00073-4
DO - 10.1016/S0378-4371(99)00073-4
M3 - Article
AN - SCOPUS:0032674633
VL - 269
SP - 1
EP - 8
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
SN - 0378-4371
IS - 1
ER -