Crowd effects and volatility in markets with competing agents

Neil F. Johnson, Michael Hart, P. M. Hui

Research output: Contribution to journalConference article

78 Scopus citations

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 languageEnglish (US)
Pages (from-to)1-8
Number of pages8
JournalPhysica A: Statistical Mechanics and its Applications
Volume269
Issue number1
DOIs
StatePublished - Jul 1 1999
EventProceedings of the 1998 International Workshop on Econophysics and Statistical Finance - Palermo, Italy
Duration: Sep 28 1998Sep 30 1998

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

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