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Multi-asset minority games
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Bianconi, Ginestra, De Martino, Andrea, Ferreira, Felipe F. and Marsili, Matteo (2006) Multi-asset minority games. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.06-).
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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
Abstract
We study analytically and numerically Minority Games in which agents may invest in different assets (or markets), considering both the canonical and the grand-canonical versions. We find that the likelihood of agents trading in a given asset depends on the relative amount of information available in that market. More specifically, in the canonical game players play preferentially in the stock with less information. The same holds in the grand canonical game when agents have positive incentives to trade, whereas when agents payoff are solely related to their speculative ability they display a larger propensity to invest in the information-rich asset. Furthermore, in this model one finds a globally predictable phase with broken ergodicity.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Investments -- Mathematical models, Assets (Accounting), Information asymmetry, Game theory | ||||
Series Name: | Working papers (Warwick Business School. Financial Econometrics Research Centre) | ||||
Publisher: | Warwick Business School, Financial Econometrics Research Centre | ||||
Place of Publication: | Coventry | ||||
Official Date: | 16 March 2006 | ||||
Dates: |
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Number: | No.06- | ||||
Number of Pages: | 12 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | European Commission (EC) |
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