Dynamics of the time horizon minority game

Michael L. Hart, Paul Jefferies, Neil F. Johnson

Research output: Contribution to journalArticle

10 Scopus citations

Abstract

We present numerical and analytic results for a new version of the minority game (MG) in which strategy performance is recorded over a finite time horizon. The dynamics of this time horizon minority game (THMG) exhibit many distinct features from the MG and depend strongly on whether the participants are fed real, or random, history strings. The THMG equations are equivalent to a Markov Chain, and yield exact analytic results for the volatility given a specific realization for the quenched strategy disorder.

Original languageEnglish (US)
Pages (from-to)275-290
Number of pages16
JournalPhysica A: Statistical Mechanics and its Applications
Volume311
Issue number1-2
DOIs
StatePublished - Aug 1 2002

Keywords

  • Agent-based models
  • Complex adaptive systems
  • Econophysics

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

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