From Minority Games To Real Markets

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From Minority Games To Real Markets

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Author : Damien Challet
language : en
Publisher:
Release Date : 2001

From Minority Games To Real Markets written by Damien Challet and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.

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.

Minority Games

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Author : Damien Challet
language : en
Publisher: Oxford University Press on Demand
Release Date : 2005-01-01

Minority Games written by Damien Challet and has been published by Oxford University Press on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-01-01 with Business & Economics categories.

The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information flow. The book first describes the philosophy lying behind the conception of the Minority Game in 1997, and includes in particular a discussion about the El Farol bar problem. It then reviews the main steps in later developments, including both the theory and its applications to market phenomena. 'Minority Games' gives a colourful and stylized, but also realistic picture of how financial markets operate.

Minority Games

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Author : Damien Challet
language : en
Publisher: OUP Oxford
Release Date : 2004-11-04

Minority Games written by Damien Challet and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-11-04 with Science categories.

The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information flow. The book first describes the philosophy lying behind the conception of the Minority Game in 1997, and includes in particular a discussion about the El Farol bar problem. It then reviews the main steps in later developments, including both the theory and its applications to market phenomena. 'Minority Games' gives a colourful and stylized, but also realistic picture of how financial markets operate.

Extracting Real Market Behavior In Complex Adaptive Systems Through Minority Game

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Author : Ki-Hiu Ho
language : en
Publisher:
Release Date : 2017-01-27

Extracting Real Market Behavior In Complex Adaptive Systems Through Minority Game written by Ki-Hiu Ho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-27 with categories.

Modelling Markets Dynamics

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Author : Damien Challet
language : en
Publisher:
Release Date : 2000

Modelling Markets Dynamics written by Damien Challet and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

Modeling Financial Markets Using Mixed Minority Majority Games

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Author : Niki Savjani
language : en
Publisher:
Release Date : 2011

Modeling Financial Markets Using Mixed Minority Majority Games written by Niki Savjani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Capital market categories.

Financial markets are considered to be a system formed due to the interaction between heterogeneous individuals. Many models have tried emulating it and have tried to uncover the working behind it. Minority Game Model is one such model which has tried to emulate it. It is a game consisting of heterogeneous agents who believe that to gain profit one needs to be in the minority. However, it has been proved that the financial market consists of both fundamentalists (i.e. individuals gaining profit by being in the minority) as well as noise traders (individuals gaining profit by following the herd). So, we have used the Mixed Game Model to emulate financial markets which consists of Minority and Majority game players. Although it has been proved that the mixed game model is a suitable model to imitate financial world, we have observed that it still has many limitations like the two groups of agents have same properties and thus they lack in heterogeneity and also that the life of each agent is constant. But in real world, every individual has a unique memory and learning ability and will join and leave the markets as well. To improve on these limitations we have created the model, "Highly Heterogeneous Model" which removes both of these limitations. Also, we show that the new improved game improves the performance of the majority game players by 2.35 % and minority game players by 4.45 %. Apart from this we observed that all the models which have emulated financial market by using Minority Game have concentrated on the combined effect of agents of financial factors like prices, returns and volatilities i.e. they are synchronous. With the availability of high frequency data, its analysis has been continuously gaining importance in recent years. We have thus also studied this behavior of market using the asynchronous form of the game known as the "Asynchronous Mixed Game Model". We finally also prove that the Highly Heterogeneous Game represents the daily time series and the Asynchronous Mixed Game represents the high frequency time series of real financial world.

Stylized Facts Of Financial Markets And Market Crashes In Minority Games

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Author : Damien Challet
language : en
Publisher:
Release Date : 2001

Stylized Facts Of Financial Markets And Market Crashes In Minority Games written by Damien Challet and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.

We present and study a Minority Game based model of a financial market where adaptive agents - the speculators - interact with deterministic agents - called producers. Speculators trade only if they detect predictable patterns which grant them a positive gain. Indeed the average number of active speculators grows with the amount of information that producers inject into the market. Transitions between equilibrium and out of equilibrium behavior are observed when the relative number of speculators to the complexity of information or to the number of producers are changed. When the system is out of equilibrium, stylized facts arise, such as fat tailed distribution of returns and volatility clustering. Without speculators, the price follows a random walk; this implies that stylized facts arise because of the presence of speculators. Furthermore, if speculators abandon price taking behavior, stylized facts disappear.

Extracting Real Market Behavior In Complex Adaptive Systems Through Minority Game

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Author : Ki-hiu Ho
language : en
Publisher:
Release Date : 2004

Extracting Real Market Behavior In Complex Adaptive Systems Through Minority Game written by Ki-hiu Ho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Game theory categories.

The Mathematical Theory Of Minority Games

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Author : A. C. C. Coolen
language : en
Publisher: OUP Oxford
Release Date : 2005-01-06

The Mathematical Theory Of Minority Games written by A. C. C. Coolen and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-01-06 with Business & Economics categories.

Minority games are simple mathematical models initially designed to understand the co-operative phenomena observed in markets. Their core ingredients are large numbers of interacting decision-making agents, each aiming for personal gain in an artificial `market' by trying to anticipate (on the basis of incomplete information, and with an element of irrationality) the actions of others. Gain is made by those who subsequently find themselves in the minority group, e.g. those who end up buying when most wish to sell or vice versa. Aimed at researchers and students in physics, mathematics and economics this text describes the mathematical theory of Minority Games from a statistical mechanics viewpoint. It provides a detailed and explicit introduction to the advanced mathematical analysis of these models, describes the potential and restrictions of physical methods in solving agent based market models, and outlines how different mathematical approaches are related.

Reverse Engineering Financial Markets With Majority And Minority Games Using Genetic Algorithms

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Author : Judith Wiesinger
language : en
Publisher:
Release Date : 2013

Reverse Engineering Financial Markets With Majority And Minority Games Using Genetic Algorithms written by Judith Wiesinger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.