Coordination, intermittency and trends in generalized Minority Games

TL;DR

This paper explores how agents' adaptive responses in generalized Minority Games are influenced by different information structures, revealing significant effects on collective behavior, trend formation, and intermittency.

Contribution

It introduces a model where agents diversify responses based on perceived risk and analyzes how exogenous versus endogenous information impacts system dynamics.

Findings

Endogenous information leads to herding and dramatic changes in collective behavior.

Presence of trends and volatility clustering in endogenous information scenarios.

Stationary properties vary significantly with information type.

Abstract

The Minority Game framework was recently generalized to account for the possibility that agents adapt not only through strategy selection but also by diversifying their response according to the kind of dynamical regime, or the risk, they perceive. Here we study the effects of this mechanism in different information structures. We show that both the stationary macroscopic properties and the dynamical features depend strongly on whether the information supplied to the system is exogenous (`random') or endogenous (`real'). In particular, in the latter case one observes that a small amount of herding tendency suffices to alter the collective behavior dramatically. In such cases, the dynamics is characterized by the creation and destruction of trends, accompanied by intermittent features like volatility clustering.