Minority games and stylized facts

Damien Challet, Matteo Marsili and Yi-Cheng Zhang

Physica A: Statistical Mechanics and its Applications, 2001, vol. 299, issue 1, 228-233

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 extent 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: Minority game; Financial markets; Stylized facts (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (54)

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Working Paper: Minority Games and stylized facts (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:299:y:2001:i:1:p:228-233

DOI: 10.1016/S0378-4371(01)00300-4

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