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金融物理学2
金融物理学2
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230026
<bhwang@ustc.edu.cn>
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Pattern
Hopfield
agent
link
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H.Simon:
Hard Sciences
R.Lewontin
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:
z
z
z
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z
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1
z
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2
z
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3
z
Levy
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4
z
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5
z
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6
z
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7
z
Bak
Bak
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Minority Game
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z
z
W.B.Arthur:
El Farol Bar
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--
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:
X(t)={xn, x n-1, x n-2, }
x n L
Best
Predictor
From s
x n+1 >L
Dont go!
x n+1 L
Go!
Challet-Y.C.Zhang (
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Minority Game
z
N, AB
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?
0 wins if x0<x1
1 wins if x1<x0
?Cutoff L~N/2
z
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Minority Game
z
:m
V = 2
m=2
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t t
s
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(32
runs, 10000 time steps)
z
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Minority Game
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MG
i
p(i)(1-p(i))
pP(p)
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P(p)P(p)
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:2040)
A: L=2.17 5 c0.134
B: k4 L=2.224 c0.15
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N k k=2
15
16
00
01
10
11
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10000
[ 2m, m=2k ]
K3N=999
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K3
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P
z
P0,1
N=(99,315, 999, 3161)K=3
N P Pc0.672
Khttp://www.yangcai168.com/board/
3N=999
Evolutionary
Network MG (N=101, S=1, 16 simulations)
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Evolutionary
Network
MG (N=101, S=2, 16 simulations)
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Yi(t) i t
z t
z ij
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-1.8)
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Thanks for
Attention
Attention
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z Bachelier
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Levy
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Levy
Levy
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1994131997528
t=190821t
(1994-1997)
1
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(1994-1997)
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P(0)
t
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(1994-1997)
1
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(1994-1997)
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(1994-1997)
(1994-1997)
1
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2001
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