System dynamics of behaviour-evolutionary mix-game models

doi:10.1088/1674-1056/19/11/110514

中国物理B ›› 2010, Vol. 19 ›› Issue (11): 110514-110601.doi: 10.1088/1674-1056/19/11/110514

System dynamics of behaviour-evolutionary mix-game models

高洁萍¹, 苟成玲², 陈芳²

(1)Mathematics Department, Beijing University of Aeronautics and Astronautics, Beijing 100191, China; (2)Physics Department, Beijing University of Aeronautics and Astronautics, Beijing 100191, China

收稿日期:2010-01-16 修回日期:2010-05-03 出版日期:2010-11-15 发布日期:2010-11-15
基金资助:
Project supported by the Scientific Research Foundation for the Returned Overseas Chinese Scholars, State Education Ministry of China.

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

Received:2010-01-16 Revised:2010-05-03 Online:2010-11-15 Published:2010-11-15
Supported by:
Project supported by the Scientific Research Foundation for the Returned Overseas Chinese Scholars, State Education Ministry of China.

摘要/Abstract

摘要： 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.

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.

Key words: minority game model, mix-game model, behavioural evolution, system dynamics

中图分类号: (Decision theory and game theory)

02.50.Le

02.60.Pn (Numerical optimization) 89.65.Gh (Economics; econophysics, financial markets, business and management)

苟成玲, 高洁萍, 陈芳. System dynamics of behaviour-evolutionary mix-game models[J]. 中国物理B, 2010, 19(11): 110514-110601.

Gou Cheng-Ling(苟成玲), Gao Jie-Ping(高洁萍), and Chen Fang(陈芳). System dynamics of behaviour-evolutionary mix-game models[J]. Chin. Phys. B, 2010, 19(11): 110514-110601.

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System dynamics of behaviour-evolutionary mix-game models

System dynamics of behaviour-evolutionary mix-game models

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