Stylized facts in minority games with memory: a new challenge

Damien Challet, Matteo Marsili and Andrea De Martino

Physica A: Statistical Mechanics and its Applications, 2004, vol. 338, issue 1, 143-150

Abstract: A finite memory is introduced in the score dynamics of Minority Games. As expected, this removes the dependence of the stationary state on the initial conditions. However, it also causes an unexpected increase of fluctuations in grand-canonical models for very large times. Current analytical methods are inadequate to solve this simple and natural extension.

Keywords: Minority Game; Financial markets; Finite memory; Volatility clustering; Fat tails; Price return (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:338:y:2004:i:1:p:143-150

DOI: 10.1016/j.physa.2004.02.036

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