Minority Games and stylized facts
Statistical Mechanics
2009-11-07 v2 Disordered Systems and Neural Networks
Trading and Market Microstructure
Abstract
The Minority Game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extend this is a reasonable statement, and present minimal modifications that make this model reproduce stylized facts. The resulting model shows that without speculators, prices follow random walks, and that stylized facts disappear if enough speculators take into account their market impact.
Keywords
Cite
@article{arxiv.cond-mat/0103024,
title = {Minority Games and stylized facts},
author = {D. Challet and M. Marsili and Y. -C. Zhang},
journal= {arXiv preprint arXiv:cond-mat/0103024},
year = {2009}
}
Comments
6 pages, 2 figures. Proceedings of the NATO Advanced Research Workshop on Application of Physics in Economic Modelling, Prague 2001. 2nd version: small modification of the abstract