We apply path integral techniques to study the dynamics of agent-based models with asymmetric information structures. In particular, we devise a batch version of a model proposed originally by Berg et al (2001 Quantitative Finance 1 203), and convert the coupled multi-agent processes into an effective-agent problem from which the dynamical order parameters in ergodic regimes can be derived self-consistently together with the corresponding phase structure. Our dynamical study complements and extends the available static theory. Results are confirmed by numerical simulations.
Dynamics of adaptive agents with asymmetric information
De Martino A;
2005
Abstract
We apply path integral techniques to study the dynamics of agent-based models with asymmetric information structures. In particular, we devise a batch version of a model proposed originally by Berg et al (2001 Quantitative Finance 1 203), and convert the coupled multi-agent processes into an effective-agent problem from which the dynamical order parameters in ergodic regimes can be derived self-consistently together with the corresponding phase structure. Our dynamical study complements and extends the available static theory. Results are confirmed by numerical simulations.File in questo prodotto:
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