IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v1y2001i1p168-176.html
   My bibliography  Save this article

From Minority Games to real markets

Author

Listed:
  • D. Challet
  • A. Chessa
  • M. Marsili
  • Y-C. Zhang

Abstract

We address the question of market efficiency using the Minority Game (MG) model. First we show that removing unrealistic features of the MG leads to models which reproduce a scaling behaviour close to what is observed in real markets. In particular we find that (i) fat tails and clustered volatility arise at the phase transition point and that (ii) the crossover to random walk behaviour of prices is a finite-size effect. This, on one hand, suggests that markets operate close to criticality, where the market is marginally efficient. On the other it allows one to measure the distance from criticality of real markets, using cross-over times. The artificial market described by the MG is then studied as an ecosystem with different species of traders. This clarifies the nature of the interaction and the particular role played by the various populations.

Suggested Citation

  • D. Challet & A. Chessa & M. Marsili & Y-C. Zhang, 2001. "From Minority Games to real markets," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 168-176.
  • Handle: RePEc:taf:quantf:v:1:y:2001:i:1:p:168-176
    DOI: 10.1080/713665543
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/713665543
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:1:y:2001:i:1:p:168-176. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.