Minority game and anomalies in financial markets

Authored by XH Liu, XB Liang, BY Tang

Date Published: 2004-02-15

DOI: 10.1016/j.physa.2003.09.052

Sponsors: No sponsors listed

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

Abstract

The minority game (MG), which is intrinsically associated with financial markets, is an agent-based model of a competing population with limited resources. We find that the fluctuation features of MG in crowded region are more similar to real market than that of in perfect cooperation region. So we propose and study a modified model based on the MG in which agents accumulate virtual points for their strategies from the last H steps instead of from the beginning of the game. The results of numerical simulations on our new model show that agents will be more intelligent, and the types of features of fluctuations are the same in real-world market. We also give a numerical explanation of the high adaptability of agents in new model. (C) 2003 Elsevier B.V. All rights reserved.

Tags

Agent-based models econophysics Complex adaptive systems