Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game

Yu. A. Kuperin and M. M. Morozova

Papers from arXiv.org

Abstract: In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was implemented in the form of software. The modified version of Minority Game was investigated with the aim of reproducing the basic properties of real financial time series. It was proved that such properties as the clustering of volatility, the Levy distribution and multifractality are inherent for generated by this version of the Minority Game time series of prices.

Date: 2010-08
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1008.3840 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1008.3840

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().