Minority games with score-dependent and agent-dependent payoffs
文献类型：期刊论文
| 作者 | Ren, F.; Zheng, B.; Qiu, T.; Trimper, S. |
| 刊名 | PHYSICAL REVIEW E
 |
| 出版日期 | 2006-10-01 |
| 卷号 | 74页码:8 |
| ISSN号 | 1539-3755 |
| DOI | 10.1103/PhysRevE.74.041111 |
| 英文摘要 | Score-dependent and agent-dependent payoffs of the strategies are introduced into the standard minority game. The intrinsic periodicity is consequently removed, and the stylized facts arise, such as long-range volatility correlations and "fat tails" in the distribution of the returns. The agent dependence of the payoffs is essential in producing the long-range volatility correlations. The new payoffs lead to a better performance in the dynamic behavior nonlocal in time, and can coexist with the inactive strategy. We also observe that the standard deviation sigma(2)/N is significantly reduced, thus the efficiency of the system is distinctly improved. Based on this observation, we give a qualitative explanation for the long-range volatility correlations. |
| WOS关键词 | FINANCIAL-MARKETS ; STYLIZED FACTS ; TIME-SERIES ; PERSISTENCE PROBABILITY ; STATISTICAL PROPERTIES ; PRICE FLUCTUATIONS ; ECONOMIC INDEX ; BEHAVIOR ; MODEL ; VOLATILITY |
| WOS研究方向 | Physics |
| 语种 | 英语 |
| WOS记录号 | WOS:000241722900019 |
| 出版者 | AMER PHYSICAL SOC |
| 源URL | [http://119.78.100.186/handle/113462/26681]  |
| 专题 | 中国科学院近代物理研究所 |
| 通讯作者 | Ren, F. |
| 作者单位 | 1.Zhejiang Univ, Inst Modern Phys, Hangzhou 310027, Peoples R China 2.ISI Fdn, Multi Agents Complex Syst Div, I-10133 Turin, Italy 3.Univ Halle Wittenberg, FB Phys, D-06099 Halle, Germany |
| 推荐引用方式 GB/T 7714 | Ren, F.,Zheng, B.,Qiu, T.,et al. Minority games with score-dependent and agent-dependent payoffs[J]. PHYSICAL REVIEW E,2006,74:8. |
| APA | Ren, F.,Zheng, B.,Qiu, T.,&Trimper, S..(2006).Minority games with score-dependent and agent-dependent payoffs.PHYSICAL REVIEW E,74,8. |
| MLA | Ren, F.,et al."Minority games with score-dependent and agent-dependent payoffs".PHYSICAL REVIEW E 74(2006):8. |
入库方式： OAI收割
来源：近代物理研究所
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