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Minority Games and stylized facts

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Author Info
D. Challet
M. Marsili
Y. -C. Zhang

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Abstract

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 extend 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.

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File URL: http://arxiv.org/abs/cond-mat/0103024
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File URL: http://arxiv.org/pdf/cond-mat/0103024
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Publisher Info
Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0103024.

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Date of creation: Mar 2001
Date of revision: Mar 2001
Handle: RePEc:arx:papers:cond-mat/0103024

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Web page: http://arxiv.org/

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