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Giancarlo Mosetti

Publications and source records attributed to Giancarlo Mosetti.

3 recordsLinked to original sources

Structure-preserving desynchronization of minority games

Perfect synchronicity in $N$-player games is a useful theoretical dream, but communication delays are inevitable and may result in asynchronous interactions. Some systems such as financial markets are asynchronous by design, and yet most theoretical models assume perfectly synchronized actions. We propose a general method to transform standard models of adaptive agents into asynchronous systems while preserving their global structure under some conditions. Using the Minority Game as an example, we find that the phase and fluctuations structure of the standard game subsists even in maximally asynchronous deterministic case, but that it disappears if too much stochasticity is added to the temporal structure of interaction. Allowing for heterogeneous communication speeds and activity patterns gives rise to a new information ecology that we study in details.

physics.soc-ph

Anomalous fluctuations in Minority Games and related multi-agent models of financial markets

We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are currently used to model financial markets. One of the most prominent examples is here the Minority Game (MG), which we address in some more detail. After a brief discussion of its basic setup and general phenomenology we summarise the main findings of the statistical mechanics analysis and discuss the emergence of stylised facts in extensions of the MG near their phase transitions between efficient and predictable regimes. We then turn towards more realistic variants which comprise heterogeneous populations of agents, with different memory capabilities, different inclinations to trade and varying expectations on the future evolution of the market. Finally we give a short outlook on potential future work in this area.

physics.soc-ph

Minority Games with heterogeneous timescales

Minority games where groups of agents remember, react or incorporate information with different timescales are investigated. We study how their respective gains depend on their timescales for standard models and games with no public information, and support our findings by analytical arguments whenever possible.

physics.soc-ph