Agent-based models of competing population.

Yip Kin Fung.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.
Includes bibliographical references (leaves 101-104).
s in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 2 --- The Distribution of Fluctuations in Financial Data --- p.5
Chapter 2.1 --- Empirical Statistics --- p.5
Chapter 2.2 --- Data analyzed --- p.8
Chapter 2.3 --- Levy Distribution --- p.10
Chapter 2.4 --- Returns Distribution and Scaling Properties --- p.12
Chapter 2.5 --- Volatility Clustering --- p.19
Chapter 2.6 --- Conclusion --- p.21
Chapter 3 --- Models of Herd behaviour in Financial Markets --- p.22
Chapter 3.1 --- Cont and Bouchaud's model --- p.22
Chapter 3.2 --- The Model of Egiuluz and Zimmerman --- p.24
Chapter 3.3 --- EZ Model with Size-Dependent Dissociation Rates --- p.28
Chapter 3.4 --- Democratic and Dictatorship Self-Organized Model --- p.31
Chapter 3.5 --- Effect of Size-Dependent Fragmentation and Coagulation Prob- abilities --- p.33
Chapter 3.6 --- Extensions of EZ model --- p.35
Chapter 3.7 --- Conclusion --- p.39
Chapter 4 --- Review on the Minority Game(MG) --- p.42
Chapter 4.1 --- The Model and Results --- p.42
Chapter 4.2 --- Crowd-anticrowd Theory and Phase Transition --- p.46
Chapter 4.3 --- Market Efficiency --- p.48
Chapter 5 --- MG with biased strategy pool --- p.52
Chapter 5.1 --- The Model --- p.53
Chapter 5.2 --- Numerical Results and Discussion --- p.53
Chapter 5.3 --- Theory: MG with Biased Strategy Pool --- p.61
Chapter 5.4 --- Conclusion --- p.69
Chapter 6 --- MG with Randomly Participating Agents --- p.71
Chapter 6.1 --- The Model with One RPA --- p.71
Chapter 6.2 --- Results for q = 0.5 --- p.72
Chapter 6.3 --- Inefficiency and Success Rate --- p.76
Chapter 6.4 --- Results for q ≠ 0.5 --- p.82
Chapter 6.5 --- Many RPAs --- p.85
Chapter 6.6 --- Conclusion --- p.86
Chapter 7 --- A Model on Coupled Minority Games --- p.88
Chapter 7.1 --- The Model --- p.89
Chapter 7.2 --- Results and Discussion。 --- p.90
Chapter 7.3 --- Conclusion --- p.95
Chapter 8 --- Conclusion --- p.97
Bibliography --- p.101
Chapter A --- Solving Cluster Size distribution in EZ model --- p.105
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