IDEAS home Printed from https://ideas.repec.org/a/eme/jrfpps/15265941211203215.html
   My bibliography  Save this article

To be or not: feeding information in standard minority games

Author

Listed:
  • Angelo Corelli

Abstract

Purpose - The purpose of this paper is to analyse a standard grand canonical minority game (MG). Design/methodology/approach - Agents are divided into two groups: speculators, who trade adaptively, and producers who trade deterministically. Information acts on the amount of the two types in the system, modifying the share. Findings - When the system is out of equilibrium, stylized facts arise, such as fat tailed distribution of returns and volatility clustering. If speculators abandon price taking behavior, stylized facts disappear. Originality/value - The modified MG presented here is able to reproduce qualitatively a whole range of stylized facts. Most importantly, its quite rich behavior can be studied analytically.

Suggested Citation

  • Angelo Corelli, 2012. "To be or not: feeding information in standard minority games," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 13(2), pages 171-178, February.
    • Handle: RePEc:eme:jrfpps:15265941211203215
    DOI: 10.1108/15265941211203215
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/15265941211203215/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/15265941211203215/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/15265941211203215?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

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

    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:eme:jrfpps:15265941211203215. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.