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Crowd effects and volatility in a competitive market

Neil F. Johnson·Michael Hart·Pak Ming Hui
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Abstract

We present analytic and numerical results for two models, namely the minority model and the bar-attendance model, which offer simple paradigms for a competitive marketplace. Both models feature heterogeneous agents with bounded rationality who act using inductive reasoning. We find that the effects of crowding are crucial to the understanding of the macroscopic fluctuations, or `volatility', in the resulting dynamics of these systems.

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Neil F. Johnson, Michael Hart, Pak Ming Hui. 1998-11-16. Crowd effects and volatility in a competitive market. https://arxiv.org/abs/cond-mat/9811227

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