Crowd effects and volatility in markets with competing agents

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

Research output: Contribution to journalArticle

78 Citations (Scopus)

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
Externally publishedYes

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volatility
Volatility
Bounded Rationality
Heterogeneous Agents
Feature Model
crowding
minorities
Reasoning
Paradigm
Model
Fluctuations
Numerical Results
Market

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 journalArticle

Johnson, Neil F ; Hart, Michael ; Hui, P. M. / Crowd effects and volatility in markets with competing agents. In: Physica A: Statistical Mechanics and its Applications. 1999 ; Vol. 269, No. 1. pp. 1-8.
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