Minority games with score-dependent and agent-dependent payoffs.

Area of Science:

• * Complex Systems
• * Econophysics
• * Game Theory

Background:

• * The standard minority game exhibits intrinsic periodicity, failing to capture real-world market dynamics.
• * Stylized facts like volatility clustering and fat tails are crucial for realistic financial modeling.
• * Agent-dependent payoffs are key to understanding complex emergent behaviors in interactive systems.

Purpose of the Study:

• * To modify the standard minority game by incorporating score-dependent and agent-dependent payoffs.
• * To investigate the impact of these new payoffs on the game's dynamics and emergent properties.
• * To enhance the model's ability to replicate stylized facts observed in financial markets.

Main Methods:

• * Modification of the standard minority game with novel payoff structures.
• * Analysis of the resulting system dynamics, focusing on periodicity and emergent behaviors.
• * Statistical analysis of return distributions and volatility correlations.

Main Results:

• * Removal of intrinsic periodicity, leading to more realistic system behavior.
• * Emergence of stylized facts, including long-range volatility correlations and fat tails.
• * Agent dependence of payoffs identified as crucial for generating long-range volatility correlations.
• * Improved system efficiency, evidenced by a significant reduction in standard deviation.
• * Enhanced performance in nonlocal dynamic behaviors, with coexistence of inactive strategies.

Conclusions:

• * The introduction of agent-dependent payoffs effectively removes periodicity and generates key stylized facts in the minority game.
• * The model with modified payoffs demonstrates improved efficiency and better dynamic performance.
• * Agent dependence is a critical factor for reproducing long-range volatility correlations, offering a qualitative explanation for this phenomenon.