From naive to sophisticated behavior in multiagents-based financial market models

摘要

The behavior of physical complexity and mutual information function of the outcome of a model of heterogeneous, inductive rational agents inspired by the El Farol Bar problem and the Minority Game is studied. The first magnitude is a measure rooted in the Kolmogorov-Chaitin theory and the second a measure related to Shannon's information entropy. Extensive computer simulations were done, as a result of which, is proposed an ansatz for physical complexity of the type C(l)= l(alpha) and the dependence of the exponent alpha from the parameters of the model is established. The accuracy of our results and the relationship with the behavior of mutual information function as a measure of time correlation of agents choice are discussed. (C) 2000 Elsevier Science B.V. All rights reserved. [References: 19]