Stylized facts of financial markets and market crashes in Minority Games

@article{citeulike:768578, abstract = {We present and study a Minority Game based model of a financial market where adaptive agents--the speculators--interact with deterministic agents--called producers. Speculators trade only if they detect predictable patterns which grant them a positive gain. Indeed the average number of active speculators grows with the amount of information that producers inject into the market. Transitions between equilibrium and out of equilibrium behavior are observed when the relative number of speculators to the complexity of information or to the number of producers are changed. When the system is out of equilibrium, stylized facts arise, such as fat tailed distribution of returns and volatility clustering. Without speculators, the price follows a random walk; this implies that stylized facts arise because of the presence of speculators. Furthermore, if speculators abandon price taking behavior, stylized facts disappear.}, author = {Challet, Damien and Marsili, Matteo and Zhang, Yi-Cheng }, citeulike-article-id = {768578}, doi = {http://dx.doi.org/10.1016/S0378-4371(01)00103-0}, journal = {Physica A: Statistical Mechanics and its Applications}, keywords = {challet, marsili, minority-game}, month = {May}, number = {3-4}, pages = {514--524}, posted-at = {2006-07-21 17:25:46}, priority = {3}, title = {Stylized facts of financial markets and market crashes in Minority Games}, url = {http://dx.doi.org/10.1016/S0378-4371(01)00103-0}, volume = {294}, year = {2001} }

TY - JOUR ID - citeulike:768578 L3 - citeulike-article-id:768578 N2 - We present and study a Minority Game based model of a financial market where adaptive agents--the speculators--interact with deterministic agents--called producers. Speculators trade only if they detect predictable patterns which grant them a positive gain. Indeed the average number of active speculators grows with the amount of information that producers inject into the market. Transitions between equilibrium and out of equilibrium behavior are observed when the relative number of speculators to the complexity of information or to the number of producers are changed. When the system is out of equilibrium, stylized facts arise, such as fat tailed distribution of returns and volatility clustering. Without speculators, the price follows a random walk; this implies that stylized facts arise because of the presence of speculators. Furthermore, if speculators abandon price taking behavior, stylized facts disappear. IS - 3-4 JF - Physica A: Statistical Mechanics and its Applications EP - 524 TI - Stylized facts of financial markets and market crashes in Minority Games VL - 294 SP - 514 KW - challet KW - marsili KW - minority-game AU - Challet, Damien AU - Marsili, Matteo AU - Zhang, Yi-Cheng PY - 2001/05/15/ UR - http://dx.doi.org/10.1016/S0378-4371(01)00103-0 ER -