Dynamics of adaptive agents with asymmetric information

TL;DR

This paper uses path-integral methods to analyze the dynamics of adaptive agents with asymmetric information, extending static theories and providing a self-consistent framework for understanding phase structures.

Contribution

It introduces a dynamic analysis of agent-based models with asymmetric information using path-integral techniques, extending static theoretical results.

Findings

Derived dynamical order parameters in ergodic regimes

Identified phase structures through self-consistent equations

Validated results with numerical simulations

Abstract

We apply path-integral techniques to study the dynamics of agent-based models with asymmetric information structures. In particular, we devise a batch version of a model proposed originally by Berg et al. [Quant. Fin. 1 (2001) 203], and convert the coupled multi-agent processes into an effective-agent problem from which the dynamical order parameters in ergodic regimes can be derived self-consistently together with the corresponding phase structure. Our dynamical study complements and extends the available static theory. Results are confirmed by numerical simulations.