arXiv subjects

N. F. Johnson

Publications and source records attributed to N. F. Johnson.

At least 55 records · Page 3Linked to original sources

arXiv2001

Predictability of large future changes in a competitive evolving population

The dynamical evolution of many economic, sociological, biological and physical systems tends to be dominated by a relatively small number of unexpected, large changes (`extreme events'). We study the large, internal changes produced in a generic multi-agent population competing for a limited resource, and find that the level of predictability actually increases prior to a large change. These large changes hence arise as a predictable consequence of information encoded in the system's global state.

cond-mat.dis-nn↗

arXiv2001

Deterministic Dynamics in the Minority Game

The Minority Game (MG) behaves as a stochastically perturbed deterministic system due to the coin-toss invoked to resolve tied strategies. Averaging over this stochasticity yields a description of the MG's deterministic dynamics via mapping equations for the strategy score and global information. The strategy-score map contains both restoring-force and bias terms, whose magnitudes depend on the game's quenched disorder. Approximate analytical expressions are obtained and the effect of `market impact' discussed. The global-information map represents a trajectory on a De Bruijn graph. For small quenched disorder, an Eulerian trail represents a stable attractor. It is shown analytically how anti-persistence arises. The response to perturbations and different initial conditions are also discussed.

cond-mat.dis-nn↗

arXiv2000

Stochastic strategies in the Minority Game

We show analytically how the fluctuations (i.e. standard deviation) in the Minority Game (MG) can decrease below the random coin-toss limit if the agents use more general, stochastic strategies. This suppression of the standard deviation results from a cancellation between the actions of a crowd, in which agents act collectively and make the same decision, and an anticrowd in which agents act collectively by making the opposite decision to the crowd.

cond-mat↗

arXiv2000

From market games to real-world markets

This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market clearing mechanisms and show that an out-of-equilibrium clearing process leads to dynamics that closely resemble real financial movements. We then show that replacing the `synthetic' price history used by these simulations with data taken from real financial time-series leads to the remarkable result that the agents can collectively learn to identify moments in the market where profit is attainable. We then employ the formalism of Bouchaud and Sornette in conjunction with agent based models to show that in general risk cannot be eliminated from trading with these models. We also show that, in the presence of transaction costs, the risk of option writing is greatly increased. This risk, and the costs, can however be reduced through the use of a delta-hedging strategy with modified, time-dependent volatility structure.

cond-mat↗

arXiv2000

Crowd-Anticrowd Theory of Multi-Agent Market Games

We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple, explanation for the variation of the standard deviation (`volatility') in MG-like games. We demonstrate this for the basic MG, and the MG with stochastic strategies. The time-dependent equations themselves reproduce the essential dynamics of the MG.

cond-mat↗

arXiv2000

Evolutionary minority game with heterogeneous strategy distribution

We present detailed numerical results for a modified form of the so-called Minority Game, which provides a simplified model of a competitive market. Each agent has a limited set of strategies, and competes to be in a minority. An evolutionary rule for strategy modification is included to mimic simple learning. The results can be understood by considering crowd formation within the population.

cond-mat↗

arXiv2000

Crowd-anticrowd theory of the Minority Game

The Minority Game is a simple yet highly non-trivial agent-based model for a complex adaptive system. Despite its importance, a quantitative explanation of the game's fluctuations which applies over the entire parameter range of interest has so far been lacking. We provide such a quantitative description based on the interplay between crowds of like-minded agents and their anti-correlated partners (anticrowds).

cond-mat↗

arXiv2000

Mixed population Minority Game with generalized strategies

We present a quantitative theory, based on crowd effects, for the market volatility in a Minority Game played by a mixed population. Below a critical concentration of generalized strategy players, we find that the volatility in the crowded regime remains above the random coin-toss value regardless of the "temperature" controlling strategy use. Our theory yields good agreement with numerical simulations.

cond-mat↗

arXiv2000

Generalized strategies in the Minority Game

We show analytically how the fluctuations (i.e. standard deviation) in the Minority Game (MG) can be made to decrease below the random coin-toss limit if the agents use more general behavioral strategies. This suppression of the standard deviation results from a cancellation between the actions of a crowd, in which agents act collectively and make the same decision, and an anticrowd in which agents act collectively by making the opposite decision to the crowd.

cond-mat↗

arXiv2000

Crowd-anticrowd model of the Minority Game

We provide a theoretical description of the Minority Game in terms of crowd effects. The size of the fluctuations arising in the game is controlled by the interplay between crowds of like-minded agents and their anti-correlated partners (anticrowds). The theoretical results are in good agreement with the numerical simulations over the entire parameter range of interest.

cond-mat↗

arXiv2000

Theory of the evolutionary minority game

We present a theory which describes a recently introduced model of an evolving, adaptive system in which agents compete to be in the minority. The agents themselves are able to evolve their strategies over time in an attempt to improve their performance. The present theory explicitly demonstrates the self-interaction, or so-called market impact, that agents in such systems experience.

cond-mat↗

arXiv2000

Segregation in a competing and evolving population

We study a recently proposed model in which an odd number of agents are competing to be in the minority. The agents have one strategy in hand which is to follow the most recent history. Each agent is also assigned a value p, which is the probability that an agent will follow the trend. Evolution is introduced through the modification of the value of p when the performance of an agent becomes unsatisfactory. We present numerical results for the distribution of p values in the population as well as the average duration between modifications at a given p for different values of the parameters in the model. We also point out the difference between the present model and a slightly modified model in which a strategy is randomly assigned to every agent initially.

cond-mat↗

arXiv1999

Localized magnetoplasmon modes arising from broken translational symmetry in semiconductor superlattices

The electromagnetic propagator associated with the localized collective magnetoplasmon excitations in a semiconductor superlattice with broken translational symmetry, is calculated analytically within linear response theory. We discuss the properties of these collective excitations in both radiative and non-radiative regimes of the electromagnetic spectra. We find that low frequency retarded modes arise when the surface density of carriers at the symmetry breaking layer is lower than the density at the remaining layers. Otherwise a doublet of localized, high-frequency magnetoplasmon-like modes occurs.

cond-mat↗

arXiv1999

Decoherence effects on the generation of exciton entangled states in coupled quantum dots

We report on exciton-acoustic-phonon coupling effects on the generation of exciton maximally entangled states in N=2 and 3 quantum dot systems. In particular, we address the question of the combined effect of laser pulses, appropriate for generating Bell and Greenberger-Horne-Zeilinger entangled states, together with decoherence mechanisms as provided by a phonon reservoir. By solving numerically the master equation for the optically driven exciton-phonon kinetics, we show that the generation of maximally entangled exciton states is preserved over a reasonable parameter window.

cond-mat.str-el↗

arXiv1999

Evolutionary freezing in a competitive population

We show that evolution in a population of adaptive agents, repeatedly competing for a limited resource, can come to an abrupt halt. This transition from evolutionary to non-evolutionary behavior arises as the global resource level is changed, and is reminiscent of a phase transition to a frozen state. Its origin lies in the inductive decision-making of the agents, the limited global information that they possess and the dynamical feedback inherent in the system.

cond-mat.dis-nn↗

arXiv1999

Minority game with arbitrary cutoffs

We study a model of a competing population of N adaptive agents, with similar capabilities, repeatedly deciding whether to attend a bar with an arbitrary cutoff L. Decisions are based upon past outcomes. The agents are only told whether the actual attendance is above or below L. For L-> N/2, the game reproduces the main features of Challet and Zhang's minority game. As L is lowered, however, the mean attendances in different runs tend to divide into two groups. The corresponding standard deviations for these two groups are very different. This grouping effect results from the dynamical feedback governing the game's time-evolution, and is not reproduced if the agents are fed a random history.

cond-mat↗

arXiv1999

Enhanced winnings in a mixed-ability population playing a minority game

We study a mixed population of adaptive agents with small and large memories, competing in a minority game. If the agents are sufficiently adaptive, we find that the average winnings per agent can exceed that obtainable in the corresponding pure populations. In contrast to the pure population, the average success rate of the large-memory agents can be greater than 50 percent. The present results are not reproduced if the agents are fed a random history, thereby demonstrating the importance of memory in this system.

cond-mat↗

arXiv1998

Cellular Structures for Computation in the Quantum Regime

We present a new cellular data processing scheme, a hybrid of existing cellular automata (CA) and gate array architectures, which is optimized for realization at the quantum scale. For conventional computing, the CA-like external clocking avoids the time-scale problems associated with ground-state relaxation schemes. For quantum computing, the architecture constitutes a novel paradigm whereby the algorithm is embedded in spatial, as opposed to temporal, structure. The architecture can be exploited to produce highly efficient algorithms: for example, a list of length N can be searched in time of order cube root N.

cond-mat↗