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Minority game and anomalies in financial markets

Author

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  • Liu, Xinghua
  • Liang, Xiaobei
  • Tang, Bingyong

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.

Suggested Citation

  • Liu, Xinghua & Liang, Xiaobei & Tang, Bingyong, 2004. "Minority game and anomalies in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 343-352.
    • Handle: RePEc:eee:phsmap:v:333:y:2004:i:c:p:343-352
    DOI: 10.1016/j.physa.2003.09.052
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    Citations

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    Cited by:

    1. Kiniwa, Jun & Koide, Takeshi & Sandoh, Hiroaki, 2009. "Analysis of price behavior in lazy $-game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3879-3891.
    2. Liu, Xinghua & Gregor, Shirley & Yang, Jianmei, 2008. "The effects of behavioral and structural assumptions in artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2535-2546.
    3. Yang, ChunXia & Hu, Sen & Xia, BingYing, 2012. "The endogenous dynamics of financial markets: Interaction and information dissemination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3513-3525.

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