To be or not: feeding information in standard minority games

Angelo Corelli

Journal of Risk Finance, 2012, vol. 13, issue 2, 171-178

Abstract: Purpose - The purpose of this paper is to analyse a standard grand canonical minority game (MG). Design/methodology/approach - Agents are divided into two groups: speculators, who trade adaptively, and producers who trade deterministically. Information acts on the amount of the two types in the system, modifying the share. Findings - When the system is out of equilibrium, stylized facts arise, such as fat tailed distribution of returns and volatility clustering. If speculators abandon price taking behavior, stylized facts disappear. Originality/value - The modified MG presented here is able to reproduce qualitatively a whole range of stylized facts. Most importantly, its quite rich behavior can be studied analytically.

Keywords: Market economy; Returns; Game theory; Time series analysis; Producers; Speculators; Zero strategy; Memory; Volatility clustering; Fat tails (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:15265941211203215

DOI: 10.1108/15265941211203215

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