Crowd effects and volatility in markets with competing agents

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

doi:10.1016/S0378-4371(99)00073-4

Crowd effects and volatility in markets with competing agents

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

Physics

Research output: Contribution to journal › Conference article › peer-review

79 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 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	https://doi.org/10.1016/S0378-4371(99)00073-4
State	Published - Jul 1 1999
Event	Proceedings of the 1998 International Workshop on Econophysics and Statistical Finance - Palermo, Italy Duration: Sep 28 1998 → Sep 30 1998

ASJC Scopus subject areas

Statistics and Probability
Condensed Matter Physics

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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.

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Crowd effects and volatility in markets with competing agents

Abstract

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