  By incorporating market impact and asymmetric sensitivity into the
evolutionary minority game, we study the coevolutionary dynamics of stock
prices and investment strategies in financial markets. Both the stock price
movement and the investors' global behavior are found to be closely related to
the phase region they fall into. Within the region where the market impact is
small, investors' asymmetric response to gains and losses leads to the
occurrence of herd behavior, when all the investors are prone to behave
similarly in an extreme way and large price fluctuations occur. A linear
relation between the standard deviation of stock price changes and the mean
value of strategies is found. With full market impact, the investors tend to
self-segregate into opposing groups and the introduction of asymmetric
sensitivity leads to the disappearance of dominant strategies. Compared with
the situations in the stock market with little market impact, the stock price
fluctuations are suppressed and an efficient market occurs. Theoretical
analyses indicate that the mechanism of phase transition from clustering to
self-segregation in the present model is similar to that in the
majority-minority game and the occurrence and disappearance of efficient
markets are related to the competition between the trend-following and the
trend-aversion forces. The clustering of the strategies in the present model
results from the majority-wins effect and the wealth-driven mechanism makes the
market become predictable.
