Volatility and agent adaptability in a self-organizing market

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Article ID:	iaor2000401
Country:	Netherlands
Volume:	258
Issue:	1/2
Start Page Number:	230
End Page Number:	236
Publication Date:	Jan 1998
Journal:	Physica A
Authors:	Cheung P., Johnson N.F., Hui P.M., Jarvis S., Jonson R., Kwong Y.R.
Keywords:	economics

Abstract:

We present results for the so-called ‘bar-attendance’ model of market behavior: p adaptive agents, each possessing n prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is s. The global attendance time series has a mean near, but not equal to, s. The variance, or ‘volatility’, can show a minimum with increasing adaptability of the individual agents.

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