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Asset Value Game and Its Extension: Taking Past Actions into Consideration

  • Jun Kiniwa
  • Takeshi Koide
  • Hiroaki Sandoh
Part of the Communications in Computer and Information Science book series (CCIS, volume 358)

Abstract

In 1997, a minority game (MG) was proposed as a non-cooperative iterated game with an odd population of agents who make bids whether to buy or sell. Since then, many variants of the MG have been proposed. However, the common disadvantage in their characteristics is to ignore the past actions beyond a constant memory. So it is difficult to simulate actual payoffs of agents if the past price behavior has a significant influence on the current decision. In this paper we present a new variant of the MG, called an asset value game (AG), and its extension, called an extended asset value game (ExAG). In the AG, since every agent aims to decrease the mean acquisition cost of his asset, he automatically takes the past actions into consideration. The AG, however, is too simple to reproduce the complete market dynamics, that is, there may be some time lag between the price and his action. So we further consider the ExAG by using probabilistic actions, and compare them by simulation.

Keywords

Multiagent Minority game Mean asset value Asset value game Contrarian Trend-follower 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Jun Kiniwa
    • 1
  • Takeshi Koide
    • 2
  • Hiroaki Sandoh
    • 3
  1. 1.Department of Applied EconomicsUniversity of HyogoKobeJapan
  2. 2.Department of Intelligence and InformaticsKonan UniversityKobeJapan
  3. 3.Graduate School of EconomicsOsaka UniversityToyonakaJapan

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