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Dynamics of adaptive agents with asymmetric information

Andrea De Martino·Tobias Galla
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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. [Quant. Fin. 1 (2001) 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.

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Andrea De Martino, Tobias Galla. 2005-08-02. Dynamics of adaptive agents with asymmetric information. https://doi.org/10.1088/1742-5468%2F2005%2F08%2Fp08008

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