Clustered volatility in multiagent dynamics
Journal of Economic Behavior & OrganizationPublished 1 January 1997
Michael Youssefmir, Bernardo A. Huberman
Citations90
SJR quartileQ1
SJR score1.44
SNIP1.31
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TL;DR
The fluctuations around equilibrium that arise from strategy switching are analyzed and the existence of a new phenomenon, which consists of the appearance of sudden bursts of activity that punctuate the fixed point, and is due to an effective random walk consistent with overall stability.
Abstract
Large distributed multiagent systems are characterized by vast numbers of agents trying to gain access to limited resources in an unpredictable environment. Agents in these systems continuously switch strategies in order to opportunistically find improvements in their utilities. We analyzed the fluctuations around equilibrium that arise from strategy switching and discovered the existence of a new phenomenon. It consists of the appearance of sudden bursts of activity that punctuate the fixed point, and is due to an effective random walk consistent with overall stability. This clustered volatility is followed by relaxation to the fixed point but with different strategy mixes from the previous one. This bursting phenomenon is the result of the system continually changing between strategy configurations that are consistent with the overall equilibrium.
Keywords
Decision SciencesEconomics, Econometrics and Finance
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