The evolution of strategy scores in the Grand Canonical Minority Game

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dc.contributor.authorOlsson, Andreas
dc.contributor.authorBjörkman, Henrik
dc.contributor.departmentChalmers tekniska högskola / Institutionen för fysik (Chalmers)sv
dc.contributor.departmentChalmers University of Technology / Department of Physics (Chalmers)en
dc.date.accessioned2019-07-03T14:27:35Z
dc.date.available2019-07-03T14:27:35Z
dc.date.issued2016
dc.description.abstractUnderstanding nancial markets has always been a subject of interest for economists as well as physicists and mathematicians. In recent years there has been a lot of interest in agent-based models as a tool to understand market dynamics. Grand Canonical Minority Game (GCMG), a development of the Minority Game proposed in 1997, is an agent-based model where the agents, based on assigned strategies, choose one of two sides with the aim of choosing the minority side with the additional option to not participate (as opposed to the basic Minority Game). Such models have shown promise in regards to produce stylized facts from real markets such as heavy tailed price returns as well as volatility clustering around critical states. In this thesis we first go through the basics of the Minority Game and show its features, then we move on to describe GCMG. In this game we have identified different kind of agents, which will be described in detail. The main part of the work has been to formulate a statistical model for the game which characterize the agents mean step size, with a step being how far an agent moves in a time step. From this we have been able to calculate fractions of these different kind of agents as well as the full score distribution of all agents. Our model qualitatively reproduces results from numerical simulations within a range of the reduced amount of speculators in the market (ns 1). This represents a game with a large strategy space compared to the amount of speculators.
dc.identifier.urihttps://hdl.handle.net/20.500.12380/249329
dc.language.isoeng
dc.setspec.uppsokPhysicsChemistryMaths
dc.subjectAnnan teknik
dc.subjectGrundläggande vetenskaper
dc.subjectHållbar utveckling
dc.subjectEnergi
dc.subjectInnovation och entreprenörskap (nyttiggörande)
dc.subjectOther Engineering and Technologies
dc.subjectBasic Sciences
dc.subjectSustainable Development
dc.subjectEnergy
dc.subjectInnovation & Entrepreneurship
dc.titleThe evolution of strategy scores in the Grand Canonical Minority Game
dc.type.degreeExamensarbete för masterexamensv
dc.type.degreeMaster Thesisen
dc.type.uppsokH
local.programmePhysics and astronomy (MPPAS), MSc
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