Tuesday, 17 January 2017
On agent-based models' symmetries
1. I see 4 questions on the methodology of agents-based models, emphasizing the MG: CF 'Minority Games', Challet, Marsili, Zhang
2. pb1: minority (for MG): why not a majority game?
CF 'the $ -game', Andersen, Sornette
3. pb2: rationality of agents? For example for MGs:
a. Basic MG: always active
b. Grand canonical MG: active or not, one single strategy, does not take into account its market impact
c. 'Nash' MG: takes into account his market impact, but does not reason on the presence of others
4. pb3: microstructure? For example for MGs:
a. basic MG: no producers, no market maker
b. evolved MG: producers, no market maker (but see 'the $ -game')
Econophysics have only been recently focused on microstructure (CF eg Farmer)
5. pb4: what is the right symmetry: unconscious (/ emergence / animal / ecology) or conscious (/ convention / human / economy) cooperation?
6. pb4 is perhaps the bottom line: if the market logic is the division between producer and speculator (in MG, or market maker in the $ -game), is it rational from these (types of ' ) Agents not to re-examine (periodically) the terms of partition?
If so, then the framework of analysis is - a conceptual notch above the ABM - that of the iterated PD: CF 'no equilibrium theorem'
7. the ecological approach, CF Farmer 'market force, ecology, and evolution' adopts a symmetry of physicist / biologist: no cross-speculation.
In the mainstream economic literature, a fortiori in the Game Theory, the symmetry 'infinite regress' is a basic axiom.
But even without assuming this 'difficult' faculty, the iterated prisoner dilemma approach, which falls well within the bounded rationality category (H Simon), goes in the direction of a consciousness of the agents of the strategic essence of the game.
8. In the 'insider / market impact' dialogue, the non-cooperative behaviors are
a. Insider: market impact ++
b. Market maker: front-running
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