I'm wondering - will we be able to change from sedentary to hunter-gatherer or nomadic after we have settled a city? It's something that quite a number of people have done throughout the ages, but wondering if it's represented in game. So far it looks linear to me - nomadic to sedentary. Would be cool if were an option though.

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I don't know if this will happen. 

Indeed, there were and are nomadic peoples. Some of them are drawn to the role of government. But there aren't many of them. Although it certainly diversifies the gameplay.

But their introduction is secondary, as for me.

Given that the devs have mentioned the Mongols several times, I certainly hope so. The great hordes of Central Asia like the Scythians, the Huns, and the Mongols, along with other powerful groups like the Berber in North Africa and the Sioux in the Great Plains, would definitely be good candidates to have cities pack up into tent caravans and move to a new region. Something like the Roving Clans ability to move cities in Endless Legend would definitely be cool, and would be especially useful if there is some kind of climate change mechanic and a region becomes less useful.

Perhaps a faction can start moving again(become nomadic) when an enemy conquers it's last city(for example, like the gothic migrations) and gets some troops in place of the building in their city. this could increase compition between players and ensure that even the millitary underdog gets to live to fight another day and compete for fame.