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Statistical properties of the attendance time series in the minority game

Author

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  • Zheng, Dafang
  • Wang, Bing-Hong

Abstract

We study the statistical properties of the attendance time series corresponding to the number of agents making a particular decision in the minority game (MG). We focus on the analysis of the probability distribution and the autocorrelation function of the attendance over a time interval in the efficient phase of the game. In this regime both the probability distribution and the autocorrelation function are shown to have similar behaviour for time differences corresponding to multiples of 2×2m, which is twice the number of possible history bit strings in a MG with agents making decisions based on the most recent m outcomes of the game.

Suggested Citation

  • Zheng, Dafang & Wang, Bing-Hong, 2001. "Statistical properties of the attendance time series in the minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 560-566.
    • Handle: RePEc:eee:phsmap:v:301:y:2001:i:1:p:560-566
    DOI: 10.1016/S0378-4371(01)00406-X
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    Citations

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    Cited by:

    1. Liu, Ching & Liaw, Sy-Sang, 2006. "Maximize personal gain in the minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 516-524.
    2. Wawrzyniak, Karol & Wiślicki, Wojciech, 2012. "Mesoscopic approach to minority games in herd regime," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2056-2082.
    3. Hung, Chia-Hsiang & Liaw, Sy-Sang, 2007. "Effective history length of the minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 129-137.
    4. Li-Xin Zhong & Wen-Juan Xu & Fei Ren & Yong-Dong Shi, 2012. "Coupled effects of market impact and asymmetric sensitivity in financial markets," Papers 1209.3399, arXiv.org, revised Jan 2013.
    5. Zhong, Li-Xin & Xu, Wen-Juan & Ren, Fei & Shi, Yong-Dong, 2013. "Coupled effects of market impact and asymmetric sensitivity in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2139-2149.
    6. Acosta, Gabriel & Caridi, Inés & Guala, Sebastián & Marenco, Javier, 2013. "The quasi-periodicity of the minority game revisited," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4450-4465.

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