Modeling the Financial Market Based on Minority Game

Yang Yu (), Jianlin Zhang () and Yuan Zhang ()
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Yang Yu: Capital Normal University
Jianlin Zhang: Capital Normal University
Yuan Zhang: Capital Normal University

A chapter in LISS 2013, 2015, pp 1271-1276 from Springer

Abstract: Abstract In this paper Minority Game is applied to model financial market, which deals with the problem how the equilibrium could be dynamically attained as heterogeneous agents interacting with each other. It is found that market self-organization is of evolutionary nature and takes place on longer time-scales. When few agents are present, the market is easily predictable and agents perform slightly better than random agents. When more agents are added, the market becomes more efficient and less predictable. As a whole, the financial market is a zero sum game.

Keywords: Financial market; Minority game; Heterogeneous agent (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-40660-7_191

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DOI: 10.1007/978-3-642-40660-7_191

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