System dynamics of behaviour-evolutionary mix-game models

【摘要】 In real financial markets there are two kinds of traders:one is fundamentalist,and the other is a trend-follower.The mix-game model is proposed to mimic such phenomena.In a mix-game model there are two groups of agents:Group 1 plays the majority game and Group 2 plays the minority game.In this paper,we investigate such a case that some traders in real financial markets could change their investment behaviours by assigning the evolutionary abilities to agents:if the winning rates of agents are smaller than a threshold,they will join the other group;and agents will repeat such an evolution at certain time intervals.Through the simulations,we obtain the following findings:(i) the volatilities of systems increase with the increase of the number of agents in Group 1 and the times of behavioural changes of all agents;(ii) the performances of agents in both groups and the stabilities of systems become better if all agents take more time to observe their new investment behaviours;(iii) there are two-phase zones of market and non-market and two-phase zones of evolution and non-evolution;(iv) parameter configurations located within the cross areas between the zones of markets and the zones of evolution are suited for simulating the financial markets.更多还原

【Abstract】 In real financial markets there are two kinds of traders:one is fundamentalist,and the other is a trend-follower.The mix-game model is proposed to mimic such phenomena.In a mix-game model there are two groups of agents:Group 1 plays the majority game and Group 2 plays the minority game.In this paper,we investigate such a case that some traders in real financial markets could change their investment behaviours by assigning the evolutionary abilities to agents:if the winning rates of agents are smaller than a threshold,they will join the other group;and agents will repeat such an evolution at certain time intervals.Through the simulations,we obtain the following findings:(i) the volatilities of systems increase with the increase of the number of agents in Group 1 and the times of behavioural changes of all agents;(ii) the performances of agents in both groups and the stabilities of systems become better if all agents take more time to observe their new investment behaviours;(iii) there are two-phase zones of market and non-market and two-phase zones of evolution and non-evolution;(iv) parameter configurations located within the cross areas between the zones of markets and the zones of evolution are suited for simulating the financial markets.更多还原