System dynamics of behaviour-evolutionary mix-game models
Gou Cheng-Ling(苟成玲)a)†, Gao Jie-Ping(高洁萍)b), and Chen Fang(陈芳) a)
a Physics Department, Beijing University of Aeronautics and Astronautics, Beijing 100191, China; b Mathematics Department, Beijing University of Aeronautics and Astronautics, Beijing 100191, China
Abstract In real financial markets there are two kinds of traders: one is fundamentalist, and the other is a trend-follower. The mix-game model is proposed to mimic such phenomena. In a mix-game model there are two groups of agents: Group 1 plays the majority game and Group 2 plays the minority game. In this paper, we investigate such a case that some traders in real financial markets could change their investment behaviours by assigning the evolutionary abilities to agents: if the winning rates of agents are smaller than a threshold, they will join the other group; and agents will repeat such an evolution at certain time intervals. Through the simulations, we obtain the following findings: (i) the volatilities of systems increase with the increase of the number of agents in Group 1 and the times of behavioural changes of all agents; (ii) the performances of agents in both groups and the stabilities of systems become better if all agents take more time to observe their new investment behaviours; (iii) there are two-phase zones of market and non-market and two-phase zones of evolution and non-evolution; (iv) parameter configurations located within the cross areas between the zones of markets and the zones of evolution are suited for simulating the financial markets.
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