A Model of Distributed Markets with Heterogenous Agents


 Tadeusz Platkowski(*) and Michal Ramsza(**)

(*) Dept. of Mathematics, Informatics and Mechanics, University of
Warsaw, Banacha 2, 02-097 Warsaw

(**) Institute of Econometrics, Warsaw School of Economics,
Aleje Niepodleglosci 162, 02-554, Warsaw,


We consider a model of heterogeneous, inductive rational agents,
which interact through an aggregate, collective variable, and act on
a finite system of local markets. Initially, the finite number of
agents is distributed uniformly over the markets. On each market the
agents play Minority Game, choosing between two options, say
-1 and +1. If the agent is in minority, her wealth increases
according to the price on the given local market.
Each agent has a set of strategies, drawn randomly from the whole set
of admissible strategies. The strategies earn virtual points
according to their performances on markets. Each market has a local
history, which is a finite sequence of elements from the set
{-1,0,1}, -1 corresponding to the first option being in minority,
0 in the case of draw. While the wealth of the agent depends only on
her performance on the local market on which she acts at a given
time, the virtual points of her strategies are updated parallely on
each market. The agents change the market on which they play
according to some specified selection rules.On the chosen market
they apply the strategy with the highest score of collected virtual
points.

The dynamics of the local markets, their volumes, prices,
volatilities, the time evolution of the mean wealth of the system
are studied. The results are compared with those obtained for the
same system of agents (with the same system of strategies), playing
Minority Game on a single, global market. The effects of
distribution of markets on both agents' mobility and volatility of
the system are investigated. The influence of the length of the
memory as well as  of the number of local markets on the
performance of the system is discussed.