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Market response to external events and interventions in spherical minority games

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  • P. Papadopoulos
  • A. C. C. Coolen

Abstract

We solve the dynamics of large spherical Minority Games (MG) in the presence of non-negligible time dependent external contributions to the overall market bid. The latter represent the actions of market regulators, or other major natural or political events that impact on the market. In contrast to non-spherical MGs, the spherical formulation allows one to derive closed dynamical order parameter equations in explicit form and work out the market's response to such events fully analytically. We focus on a comparison between the response to stationary versus oscillating market interventions, and reveal profound and partially unexpected differences in terms of transition lines and the volatility.

Suggested Citation

  • P. Papadopoulos & A. C. C. Coolen, 2008. "Market response to external events and interventions in spherical minority games," Papers 0805.0746, arXiv.org.
    • Handle: RePEc:arx:papers:0805.0746
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    1. Damien Challet, 2006. "Coolen, A.C.C.: The Mathematical Theory of Minority Games. Statistical Mechanics of Interacting Agents," Journal of Economics, Springer, vol. 88(3), pages 311-314, September.
    2. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2013. "Minority Games: Interacting agents in financial markets," OUP Catalogue, Oxford University Press, number 9780199686698.
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    Cited by:

    1. Ming-Yuan Yang & Sai-Ping Li & Li-Xin Zhong & Fei Ren, 2018. "Modelling stock correlations with expected returns from investors," Papers 1803.02019, arXiv.org, revised Mar 2018.

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