arXiv subjects

Damien Challet

Publications and source records attributed to Damien Challet.

77 records · Page 5Linked to original sources

arXiv1999

Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact

We discuss a model of heterogeneous, inductive rational agents inspired by the El Farol Bar problem and the Minority Game. As in markets, agents interact through a collective aggregate variable -- which plays a role similar to price -- whose value is fixed by all of them. Agents follow a simple reinforcement-learning dynamics where the reinforcement, for each of their available strategies, is related to the payoff delivered by that strategy. We derive the exact solution of the model in the ``thermodynamic'' limit of infinitely many agents using tools of statistical physics of disordered systems. Our results show that the impact of agents on the market price plays a key role: even though price has a weak dependence on the behavior of each individual agent, the collective behavior crucially depends on whether agents account for such dependence or not. Remarkably, if the adaptive behavior of agents accounts even ``infinitesimally'' for this dependence they can, in a whole range of parameters, reduce global fluctuations by a finite amount. Both global efficiency and individual utility improve with respect to a ``price taker'' behavior if agents account for their market impact.

cond-mat.stat-mech↗

arXiv1999

Modeling Market Mechanism with Minority Game

Using the Minority Game model we study a broad spectrum of problems of market mechanism. We study the role of different types of agents: producers, speculators as well as noise traders. The central issue here is the information flow : producers feed in the information whereas speculators make it away. How well each agent fares in the common game depends on the market conditions, as well as their sophistication. Sometimes there is much to gain with little effort, sometimes great effort virtually brings no more incremental gain. Market impact is shown to play also an important role, a strategy should be judged when it is actually used in play for its quality. Though the Minority Game is an extremely simplified market model, it allows to ask, analyze and answer many questions which arise in real markets.

cond-mat.stat-mech↗

arXiv1999

Phase Transition and Symmetry Breaking in the Minority Game

We show that the Minority Game, a model of interacting heterogeneous agents, can be described as a spin systems and it displays a phase transition between a symmetric phase and a symmetry broken phase where the games outcome is predicable. As a result a ``spontaneous magnetization'' arises in the spin formalism.

cond-mat.stat-mech↗

arXiv1998

On the Minority Game : Analytical and Numerical Studies

We investigate further several properties of the minority game we have recently introduced. We explain the origin of the phase transition and give an analytical expression of $σ^2/N$ in the $N\ll2^M$ region. The ability of the players to learn a given payoff is also analyzed, and we show that the Darwinian evolution process tends to a self-organized state, in particular, the life-time distribution is a power-law with exponent -2. Furthermore, we study the influence of identical players on their gain and on the system's performance. Finally, we show that large brains always take advantage of small brains.

cond-mat.stat-mech↗

arXiv1997

Emergence of Cooperation and Organization in an Evolutionary Game

A binary game is introduced and analysed. N players have to choose one of the two sides independently and those on the minority side win. Players uses a finite set of ad hoc strategies to make their decision, based on the past record. The analysing power is limited and can adapt when necessary. Interesting cooperation and competition pattern of the society seem to arise and to be responsive to the payoff function.

adap-org↗