Minority games and stylized facts

被引：24

作者：

Challet, D

Marsili, M

Zhang, YC

机构：

[1] Univ Oxford, Oxford OX1 3NP, England

[2] SISSA, Unita Trieste, INFM, I-34014 Trieste, Italy

[3] Univ Fribourg, Inst Phys Theor, CH-1700 Perolles, Switzerland

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2001年 / 299卷 / 1-2期

关键词：

minority game; financial markets; stylized facts;

D O I：

10.1016/S0378-4371(01)00300-4

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The minority game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extent this is a reasonable statement and present minimal modifications that make this model reproduce stylized facts. The resulting model shows that without speculators, prices follow random walks, and that stylized facts disappear if enough speculators take into account their market impact. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：228 / 233

页数：6

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