Related papers: Minority Games and stylized facts
We show analytically how the fluctuations (i.e. standard deviation) in the Minority Game (MG) can decrease below the random coin-toss limit if the agents use more general, stochastic strategies. This suppression of the standard deviation…
By considering diffusion on De Bruijn graphs, we study in details the dynamics of the histories in the Minority Game, a model of competition between adaptative agents. Such graphs describe the structure of temporal evolution of $M$ bits…
In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game and a Grand Canonical Minority Game. The dynamics derived is a generalized geometric Brownian motion; from the…
The Minority Game (MG) behaves as a stochastically perturbed deterministic system due to the coin-toss invoked to resolve tied strategies. Averaging over this stochasticity yields a description of the MG's deterministic dynamics via mapping…
We show analytically how the fluctuations (i.e. standard deviation) in the Minority Game (MG) can be made to decrease below the random coin-toss limit if the agents use more general behavioral strategies. This suppression of the standard…
In this paper we study the minority game in the presence of evolution. In particular, we examine the behavior in games in which the dimension of the strategy space, m, is the same for all agents and fixed for all time. We find that for all…
We propose a new model of minority game with so-called smart agents such that the standard deviation and the total loss in this model reach the theoretical minimum values in the limit of long time. The smart agents use trail and error…
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model…
In this paper I give a brief introduction to a family of simple but non-trivial models designed to increase our understanding of collective processes in markets, the so-called Minority Games, and their non-equilibrium statistical…
To study the interplay between global market choice and local peer pressure, we construct a minority-game-like econophysical model. In this so-called networked minority game model, every selfish player uses both the historical minority…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can generate the stylized facts. This leads to a detailed…
TheMinority Game (MG) has become a paradigm to probe complex social and economical phenomena where adaptive agents compete for a limited resource, and it finds applications in statistical and nonlinear physics as well. In the traditional MG…
We analyze grand-canonical minority games with infinite and finite score memory and different updating timescales (from `on-line' games to `batch' games) in detail with various complementary methods, both analytical and numerical. We focus…
We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main…
We present a detailed analysis of the self-organization phenomenon in which the stylized facts originate from finite size effects with respect to the number of agents considered and disappear in the limit of an infinite population. By…
We study a model of a competing population of N adaptive agents, with similar capabilities, repeatedly deciding whether to attend a bar with an arbitrary cutoff L. Decisions are based upon past outcomes. The agents are only told whether the…
The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a…
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…