Abstract:
We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In contrast with previous MG, the best strategies are not always targeting the minority but are shifting opportunistically between the minority and the majority. The emergent properties of the price dynamics and of the wealth of agents are strikingly different from those found in MG. As the memory of agents is increased, we find a phase transition between a self-sustained speculative phase in which a “stubborn majority” of agents effectively collaborate to arbitrage a market-maker for their mutual benefit and a phase where the market-maker always arbitrages the agents. A subset of agents exhibit a sustained non-equilibrium risk-return profile.
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Received 5 June 2002 / Received in final form 21 November 2002 Published online 27 January 2003
RID="a"
ID="a"e-mail: sornette@unice.fr
RID="b"
ID="b"CNRS UMR7536
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ID="c"CNRS UMR6622
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Vitting Andersen, J., Sornette, D. The $-game. Eur. Phys. J. B 31, 141–145 (2003). https://doi.org/10.1140/epjb/e2003-00017-7
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DOI: https://doi.org/10.1140/epjb/e2003-00017-7