Volatility and Agent Adaptability in a Self-Organizing Market

Abstract

We present results for the so-called `bar-attendance' model of market behavior: $p$ adaptive agents, each possessing $n$ prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is $s$. The global attendance time-series has a mean near, but not equal to, $s$. The variance, or `volatility', can show a minimum with increasing adaptability of the individual agents.