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Anomalous fluctuations in Minority Games and related multi-agent models of financial markets

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  • Tobias Galla
  • Giancarlo Mosetti
  • Yi-Cheng Zhang

Abstract

We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are currently used to model financial markets. One of the most prominent examples is here the Minority Game (MG), which we address in some more detail. After a brief discussion of its basic setup and general phenomenology we summarise the main findings of the statistical mechanics analysis and discuss the emergence of stylised facts in extensions of the MG near their phase transitions between efficient and predictable regimes. We then turn towards more realistic variants which comprise heterogeneous populations of agents, with different memory capabilities, different inclinations to trade and varying expectations on the future evolution of the market. Finally we give a short outlook on potential future work in this area.

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  • Tobias Galla & Giancarlo Mosetti & Yi-Cheng Zhang, 2006. "Anomalous fluctuations in Minority Games and related multi-agent models of financial markets," Papers physics/0608091, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0608091
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    References listed on IDEAS

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    1. Leigh Tesfatsion & Kenneth L. Judd (ed.), 2006. "Handbook of Computational Economics," Handbook of Computational Economics, Elsevier, edition 1, volume 2, number 2.
    2. Leigh Tesfatsion, 2002. "Agent-Based Computational Economics," Computational Economics 0203001, University Library of Munich, Germany, revised 15 Aug 2002.
    3. Tesfatsion, Leigh & Judd, Kenneth L., 2006. "Handbook of Computational Economics, Vol. 2: Agent-Based Computational Economics," Staff General Research Papers Archive 10368, Iowa State University, Department of Economics.
    4. 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. Andrea De Martino & Tobias Galla, 2011. "On Non-Ergodic Phases In Minority Games," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 249-265.

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