Related papers: Minority Games and stylized facts
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which…
We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are…
Using the Minority Game model we study a broad spectrum of problems of market mechanism. We study the role of different types of agents: producers, speculators as well as noise traders. The central issue here is the information flow :…
The Minority Game is a simple model for the collective behavior of agents in an idealized situation where they have to compete through adaptation for a finite resource. This review summarizes the statistical mechanics community efforts to…
A brief review is given of the minority game, an idealized model stimulated by a market of speculative agents, and its complex many-body behaviour. Particular consideration is given to analytic results for the model rather than discussions…
The Minority Game is a simple yet highly non-trivial agent-based model for a complex adaptive system. Despite its importance, a quantitative explanation of the game's fluctuations which applies over the entire parameter range of interest…
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic limit and show that stylized facts arise…
Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of…
A brief review is given of the minority game, an idealized model of a market of speculative agents, and its complex many-body behaviour. Particular consideration is given to the consequences and implications of correlations between…
We present detailed numerical results for a modified form of the so-called Minority Game, which provides a simplified model of a competitive market. Each agent has a limited set of strategies, and competes to be in a minority. An…
Ecologists and economists try to explain collective behavior in terms of competitive systems of selfish individuals with the ability to learn from the past. Statistical physicists have been investigating models which might contribute to the…
We study the role of imitation within the Minority Game model of market. The players can exchange information locally, which leads to formation of groups which act as if they were single players. Coherent spatial areas of rich and poor…
The unprecedented access offered by the World Wide Web brings with it the potential to gather huge amounts of data on human activities. Here we exploit this by using a toy model of financial markets, the Minority Game (MG), to investigate…
We present a theory which describes a recently introduced model of an evolving, adaptive system in which agents compete to be in the minority. The agents themselves are able to evolve their strategies over time in an attempt to improve…
We partially modify the rules of the Minority Game (MG) by introducing some degree of local information in the game, which is only available for some agents, called the interacting agents. Our work shows that, for small values of the new…
We provide a theoretical description of the Minority Game in terms of crowd effects. The size of the fluctuations arising in the game is controlled by the interplay between crowds of like-minded agents and their anti-correlated partners…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…
The \$-Game was recently introduced as an extension of the Minority Game. In this paper we compare this model with the well know Minority Game and the Majority Game models. Due to the inter-temporal nature of the market payoff, we introduce…
Generalization of the minority game to more than one market is considered. At each time step every agent chooses one of its strategies and acts on the market related to this strategy. If the payoff function allows for strong fluctuation of…
We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…