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Agent-Based Modeling of Efficient Markets

  • S. W. Lim
  • K. Y. Michael Wong
  • Peixun Luo
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 2690)

Abstract

We consider the Minority Game which models the collective behavior of agents simultaneously and adaptively competing in a market, or distributively performing load balancing tasks. The variance of the buy-sell decisions is a measure of market inefficiency. When the initial condition of the strategies picked by the agents are the same, the market is inefficient in the regime of low agent complexity, caused by the maladaptive behavior of the agents. However, the market becomes increasingly efficient when the randomness in the initial condition increases. Implications to the occurence of maladaptation, the prediction of market trend and the search for optimal load balancing are discussed.

Keywords

Load Balance Maladaptive Behavior Periodic Component Random Initial Condition Virtual Point 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • S. W. Lim
    • 1
  • K. Y. Michael Wong
    • 1
  • Peixun Luo
    • 1
  1. 1.Department of PhysicsHong Kong University of Science and TechnologyHong KongChina

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