Dynamics of adaptive agents with asymmetric information

We apply path integral techniques to study the dynamics of agent-based models with asymmetric information structures. In particular, we devise a batch version of a model proposed originally by Berg et al (2001 Quantitative Finance 1 203), and convert the coupled multi-agent processes into an effective-agent problem from which the dynamical order parameters in ergodic regimes can be derived self-consistently together with the corresponding phase structure. Our dynamical study complements and extends the available static theory. Results are confirmed by numerical simulations. © 2005 IOP Publishing Ltd.