Eur. Phys. J. B 20, 547-550 (2001)
https://doi.org/10.1007/s100510170237

Crowd-anticrowd theory of multi-agent market games

¹ Physics Department, Oxford University, Oxford, OX1 3PU, UK
² Physics Department, Chinese University of Hong Kong, Shatin, Hong Kong, PR China

Corresponding author: ^a michael.hart@physics.ox.ac.uk

Received: 28 August 2000
Revised: 23 September 2000
Published online: 15 April 2001

Abstract

We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple, explanation for the variation of the standard deviation (`volatility') in MG-like games. We demonstrate this for the basic MG, and the MG with stochastic strategies. The time-dependent equations themselves reproduce the essential dynamics of the MG.