Abstract
In this paper we investigate the possibility of spontaneous segregation into groups of traders that have to choose among several markets. Even in the simplest case of two markets and Zero Intelligence traders, we are able to observe segregation effects below a critical value T c of the temperature T; the latter regulates how strongly traders bias their decisions towards choices with large accumulated scores. It is notable that segregation occurs even though the traders are statistically homogeneous. Traders can in principle change their loyalty to a market, but the relevant persistence times become long below T c .
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Notes
- 1.
Hanaki et al. (2011) uses the same rule with \(\omega = 1 - r\), while in Sato and Crutchfield (2003) the prescription used was \(A(n + 1) = S(n) + (1-\alpha )A(n)\). The second rule allows the attractions to increase to infinity, while in the first case, they are constrained. However, up to a temperature rescaling, the two rules are equivalent. The more important difference is that in the paper (Sato and Crutchfield 2003), the attractions of unplayed actions are updated with fictitious scores an agent would have got had he played the action, while we effectively update them with score S(n) = 0.
- 2.
The softmax function is commonly used in models of learning agents, see for example Hanaki et al. (2011), Sato and Crutchfield (2003). Another common formulation of the softmax function is \(P_{\gamma } \propto \exp (\beta A_{\gamma })\), where \(\beta = 1/T\) is sometimes called the intensity of choice as in Brock and Hommes (1997).
- 3.
Note that traders are not informed about these market biases, nor the market mechanism in general; they learn only by means of the scores they receive.
- 4.
We note that also in Gode and Sunder (1993), agents were preassigned the role of a buyer or a seller and were not allowed to change this during trading, thus acting as if there was no overall constraint on the possession of money/goods for trade.
- 5.
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Alorić, A., Sollich, P., McBurney, P. (2015). Spontaneous Segregation of Agents Across Double Auction Markets. In: Amblard, F., Miguel, F., Blanchet, A., Gaudou, B. (eds) Advances in Artificial Economics. Lecture Notes in Economics and Mathematical Systems, vol 676. Springer, Cham. https://doi.org/10.1007/978-3-319-09578-3_7
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DOI: https://doi.org/10.1007/978-3-319-09578-3_7
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