Illusory versus genuine control in agent-based games

  title={Illusory versus genuine control in agent-based games},
  author={Jeffrey Satinover and Didier Sornette},
  journal={The European Physical Journal B},
In the Minority, Majority and Dollar Games (MG, MAJG, $G) agents compete for rewards, acting in accord with the previously best-performing of their strategies. Different aspects/kinds of real-world markets are modelled by these games. In the MG, agents compete for scarce resources; in the MAJG agents imitate the group to exploit a trend; in the $G agents attempt to predict and benefit both from trends and changes in the direction of a market. It has been previously shown that in the MG for a… 
Cycles, determinism and persistence in agent-based games and financial time-series: part I
The Minority Game (MG), the Majority Game (MAJG) and the Dollar Game ($G) are important and closely related versions of market-entry games designed to model different features of real-world financial
Cycles, determinism and persistence in agent-based games and financial time-series: part II
The present article constitutes part II of a series of two reports in which we study the decomposition of synthetic and real financial time-series into a superposition of weighted Hamiltonian cycles
How altruism can pay in a collective game
Dipartimento di Fisica e Astronomia - Universita di Catania, and INFN sezionedi Catania, Via S. So a 64, I-95123, Catania, ItalyAbstractWe consider a collective version of Parrondo’s paradox, a game
Stock Markets, Market Crashes, and Market Bubbles
The omnipresent and reoccurring market bubbles and crashes have been puzzling both finance professionals and academics. Important economic theories such as the efficient market hypothesis indicate
Micro and macro benefits of random investments in financial markets
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular,
Are Random Trading Strategies More Successful than Technical Ones?
The performance of some of the most used trading strategies in predicting the dynamics of financial markets for different international stock exchange indexes is studied, with the goal of comparing them to the performance of a completely random strategy.
Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts
It is found in general that more trading results in smaller net return due to trading frictions, with the exception that the net return is independent of the trading frequency for A-share individual traders.
Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models
This short review presents a selected history of the mutual fertilization between physics and economics, from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives
Physics and financial economics (1776-2014): puzzles, Ising and agent-based models.
  • D. Sornette
  • Economics
    Reports on progress in physics. Physical Society
  • 2014
A selected history of the mutual fertilization between physics and economics--from Isaac Newton and Adam Smith to the present is presented and the 'Emerging Intelligence Market Hypothesis' is formulated to reconcile the pervasive presence of 'noise traders' with the near efficiency of financial markets.


The $-game
Abstract:We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In contrast with previous MG, the best strategies are not always
“Illusion of control" in Time-Horizon Minority and Parrondo Games
Analytically using the theory of Markov Chains and by numerical simulations in two classes of games, the Time-Horizon Minority Game and the Parrondo Game, it is demonstrated that agents who optimize their strategy based on past information may actually perform worse than non-optimizing agents.
Out-of-equilibrium economics and agent-based modeling
Minority Games: Interacting agents in financial markets
The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market
Crowd-anticrowd theory of multi-agent market games
The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple, explanation for the variation of the standard deviation in MG-like games.
What Really Matters When Buying and Selling Stocks
This paper asks the simple question of what matters to individuals when they buy and sell stocks. To answer this question, we surveyed all finance professors at accredited, four-year universities and
The mathematical theory of minority games : statistical mechanics of interacting agents
1. Introduction 2. Preparing the stage for statistical mechanics 3. Pseudo-equilibrium replica analysis 4. Dynamics of the batch MG with fake memory 5. Dynamics of the on-line MG with fake memory 6.
Efficient Capital Markets: II
SEQUELS ARE RARELY AS good as the originals, so I approach this review of the market efficiency literature with trepidation. The task is thornier than it was 20 years ago, when work on efficiency was