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

Simple item page
dc.creatorGalla, Tobias
dc.creatorMosetti, Giancarlo
dc.creatorZhang, Yi-Cheng
dc.date2006-08-08
dc.date.accessioned2026-07-07T12:07:49Z
dc.date.available2026-07-07T12:07:49Z
dc.descriptionWe 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.
dc.descriptionreview article, 27 pages, 13 figures
dc.identifierhttps://arxiv.org/abs/physics/0608091
dc.identifierhttp://arxiv.org/abs/physics/0608091
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209108
dc.subjectPhysics and Society
dc.subjectDisordered Systems and Neural Networks
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleAnomalous fluctuations in Minority Games and related multi-agent models of financial markets
dc.typetext

Files

Collections

arXiv