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Damien Challet

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Baptiste Lefort & Eric Benhamou & Jean-Jacques Ohana & David Saltiel & Beatrice Guez & Damien Challet, 2024. "Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?," Papers 2401.05447, arXiv.org.

    Cited by:

    1. Baptiste Lefort & Eric Benhamou & Jean-Jacques Ohana & David Saltiel & Beatrice Guez, 2024. "Optimizing Performance: How Compact Models Match or Exceed GPT's Classification Capabilities through Fine-Tuning," Papers 2409.11408, arXiv.org.

  2. Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023. "Price impact in equity auctions: zero, then linear," Papers 2301.05677, arXiv.org, revised Sep 2023.

    Cited by:

    1. Marcel Nutz & Kevin Webster & Long Zhao, 2023. "Unwinding Stochastic Order Flow: When to Warehouse Trades," Papers 2310.14144, arXiv.org.

  3. Christian Bongiorno & Damien Challet, 2022. "Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy," Papers 2206.10173, arXiv.org.

    Cited by:

    1. Xavier Brouty & Matthieu Garcin, 2022. "A statistical test of market efficiency based on information theory," Papers 2208.11976, arXiv.org.
    2. Xavier Brouty & Matthieu Garcin, 2022. "A statistical test of market efficiency based on information theory," Working Papers hal-03760478, HAL.

  4. J'er'emi Assael & Laurent Carlier & Damien Challet, 2022. "Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning," Papers 2201.04393, arXiv.org, revised Apr 2023.

    Cited by:

    1. Trotta, Annarita & Rania, Francesco & Strano, Eugenia, 2024. "Exploring the linkages between FinTech and ESG: A bibliometric perspective," Research in International Business and Finance, Elsevier, vol. 69(C).
    2. Jérémi Assael & Thibaut Heurtebize & Laurent Carlier & François Soupé, 2023. "Greenhouse Gases Emissions: Estimating Corporate Non-Reported Emissions Using Interpretable Machine Learning," Sustainability, MDPI, vol. 15(4), pages 1-28, February.
    3. Jeremi Assael & Thibaut Heurtebize & Laurent Carlier & Franc{c}ois Soup'e, 2022. "Greenhouse gases emissions: estimating corporate non-reported emissions using interpretable machine learning," Papers 2212.10844, arXiv.org.
    4. Michele Costa, 2023. "The evaluation of the effects of ESG scores on financial markets," Working Papers wp1189, Dipartimento Scienze Economiche, Universita' di Bologna.

  5. Christian Bongiorno & Damien Challet, 2021. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation," Papers 2112.07521, arXiv.org, revised Oct 2022.

    Cited by:

    1. Mörstedt, Torsten & Lutz, Bernhard & Neumann, Dirk, 2024. "Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(2), pages 670-685.

  6. Christian Bongiorno & Damien Challet & Gr'egoire Loeper, 2021. "Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues," Papers 2111.13109, arXiv.org, revised Mar 2023.

    Cited by:

    1. Bongiorno, Christian & Challet, Damien, 2023. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization," Finance Research Letters, Elsevier, vol. 52(C).

  7. Christian Bongiorno & Damien Challet, 2020. "Covariance matrix filtering with bootstrapped hierarchies," Papers 2003.05807, arXiv.org.

    Cited by:

    1. Damien Challet & Christian Bongiorno & Guillaume Pelletier, 2021. "Financial factors selection with knockoffs: fund replication, explanatory and prediction networks," Papers 2103.05921, arXiv.org.
    2. Ahmad W. Bitar & Nathan de Carvalho & Valentin Gatignol, 2023. "Covariance matrix estimation for robust portfolio allocation," Working Papers hal-04046454, HAL.
    3. Bongiorno, Christian & Challet, Damien, 2023. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization," Finance Research Letters, Elsevier, vol. 52(C).

  8. Christian Bongiorno & Damien Challet, 2020. "Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning," Papers 2005.08703, arXiv.org, revised Mar 2023.

    Cited by:

    1. Bongiorno, Christian & Challet, Damien, 2023. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization," Finance Research Letters, Elsevier, vol. 52(C).

  9. Damien Challet & Alessandro Pluchino & Alessio Emanuele Biondo & Andrea Rapisarda, 2020. "On the origins of extreme wealth inequality in the Talent vs Luck Model," Post-Print hal-02188240, HAL.

    Cited by:

    1. Biondo, A.E. & Pluchino, A. & Zanola, R., 2024. "Simulating the emergence of superstar firms: The role of luck vs talent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 644(C).

  10. Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019. "The market nanostructure origin of asset price time reversal asymmetry," Papers 1901.00834, arXiv.org, revised Apr 2020.

    Cited by:

    1. Carlo Campajola & Fabrizio Lillo & Daniele Tantari, 2019. "Unveiling the relation between herding and liquidity with trader lead-lag networks," Papers 1909.10807, arXiv.org, revised Mar 2020.
    2. Artem Stopochkin & Inessa Sytnik & Janusz Wielki & Nataliia Zemlianska, 2021. "Methodology for Building Trader's Investment Strategy Based on Assessment of the Market Value of the Company," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 913-935.
    3. Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "The Multivariate Fractional Ornstein-Uhlenbeck Process," CEIS Research Paper 581, Tor Vergata University, CEIS, revised 28 Aug 2024.
    4. Wojciech Wisniewski & Yuri Kalnishkan & David Lindsay & Si^an Lindsay, 2024. "Temporal distribution of clusters of investors and their application in prediction with expert advice," Papers 2406.19403, arXiv.org.

  11. Damien Challet, 2018. "Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions," Papers 1807.00573, arXiv.org.

    Cited by:

    1. Damien Challet & Nikita Gourianov, 2018. "Dynamical regularities of US equities opening and closing auctions," Papers 1802.01921, arXiv.org, revised Oct 2018.

  12. Damien Challet & Nikita Gourianov, 2018. "Dynamical regularities of US equities opening and closing auctions," Papers 1802.01921, arXiv.org, revised Oct 2018.

    Cited by:

    1. Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023. "Price impact in equity auctions: zero, then linear," Papers 2301.05677, arXiv.org, revised Sep 2023.
    2. Damien Challet, 2018. "Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions," Papers 1807.00573, arXiv.org.

  13. Marcus Cordi & Damien Challet & Ioane Muni Toke, 2017. "Testing the causality of Hawkes processes with time reversal," Papers 1709.08516, arXiv.org.

    Cited by:

  14. Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet, 2016. "Statistically validated network of portfolio overlaps and systemic risk," Papers 1603.05914, arXiv.org, revised Sep 2016.

    Cited by:

    1. Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Papers 2002.03319, arXiv.org.
    2. Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2019. "Reconstructing and stress testing credit networks," LSE Research Online Documents on Economics 118938, London School of Economics and Political Science, LSE Library.
    3. Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2020. "Reconstructing and stress testing credit networks," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    4. Alessandro Ferracci & Giulio Cimini, 2021. "Systemic risk in interbank networks: disentangling balance sheets and network effects," Papers 2109.14360, arXiv.org, revised Sep 2022.
    5. Carolina Becatti & Guido Caldarelli & Renaud Lambiotte & Fabio Saracco, 2019. "Extracting significant signal of news consumption from social networks: the case of Twitter in Italian political elections," Palgrave Communications, Palgrave Macmillan, vol. 5(1), pages 1-16, December.
    6. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2023. "Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 599-625, July.
    7. Giulia Poce & Giulio Cimini & Andrea Gabrielli & Andrea Zaccaria & Giuditta Baldacci & Marco Polito & Mariangela Rizzo & Silvia Sabatini, 2016. "What do central counterparties default funds really cover? A network-based stress test answer," Papers 1611.03782, arXiv.org.
    8. Peng Wang & Jun-Chao Ma & Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette, 2019. "Comparative analysis of layered structures in empirical investor networks and cellphone communication networks," Papers 1907.01119, arXiv.org.
    9. Kevin Primicerio & Damien Challet & Stanislao Gualdi, 2020. "Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors," Post-Print hal-04317258, HAL.
    10. Yan, Guan & Liu, Zhidong, 2023. "Interconnectedness of financial institutions based on pledged shares in China," Finance Research Letters, Elsevier, vol. 57(C).
    11. Hong Fan & Allan Alvin Lee Lukaya Amalia & Qian Qian Gao, 2018. "The Assessment of Systemic Risk in the Kenyan Banking Sector," Complexity, Hindawi, vol. 2018, pages 1-15, January.
    12. Grzegorz Halaj & Ruben Hipp, 2024. "Decomposing Systemic Risk: The Roles of Contagion and Common Exposures," Staff Working Papers 24-19, Bank of Canada.
    13. Shanshan Jiang & Hong Fan & Min Xia, 2018. "Credit Risk Contagion Based on Asymmetric Information Association," Complexity, Hindawi, vol. 2018, pages 1-11, July.
    14. Mika J. Straka & Guido Caldarelli & Tiziano Squartini & Fabio Saracco, 2017. "From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks," Papers 1710.10143, arXiv.org.
    15. Hałaj, Grzegorz & Hipp, Ruben, 2024. "Decomposing systemic risk: the roles of contagion and common exposures," Working Paper Series 2929, European Central Bank.
    16. Gupta, Aparna & Wang, Runzu & Lu, Yueliang, 2021. "Addressing systemic risk using contingent convertible debt – A network analysis," European Journal of Operational Research, Elsevier, vol. 290(1), pages 263-277.
    17. Sindhuja Ranganathan & Mikko Kivelä & Juho Kanniainen, 2018. "Dynamics of investor spanning trees around dot-com bubble," PLOS ONE, Public Library of Science, vol. 13(6), pages 1-14, June.
    18. Damien Challet, 2016. "Regrets, learning and wisdom," Papers 1605.01052, arXiv.org.
    19. Fessina, Massimiliano & Zaccaria, Andrea & Cimini, Giulio & Squartini, Tiziano, 2024. "Pattern-detection in the global automotive industry: A manufacturer-supplier-product network analysis," Chaos, Solitons & Fractals, Elsevier, vol. 181(C).
    20. Cerqueti, Roy & Ciciretti, Rocco & Dalò, Ambrogio & Nicolosi, Marco, 2022. "A new measure of the resilience for networks of funds with applications to socially responsible investments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
    21. Barucca, Paolo & Mahmood, Tahir & Silvestri, Laura, 2021. "Common asset holdings and systemic vulnerability across multiple types of financial institution," Journal of Financial Stability, Elsevier, vol. 52(C).
    22. Yoshihiko Hogen & Yoshiyasu Koide & Yuji Shinozaki, 2022. "Rise of NBFIs and the Global Structural Change in the Transmission of Market Shocks," Bank of Japan Working Paper Series 22-E-14, Bank of Japan.
    23. M. Raddant & T. Di Matteo, 2023. "A look at financial dependencies by means of econophysics and financial economics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(4), pages 701-734, October.
    24. Lin, Li & Guo, Xin-Yu, 2019. "Identifying fragility for the stock market: Perspective from the portfolio overlaps network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 132-151.
    25. Danilo Delpini & Stefano Battiston & Guido Caldarelli & Massimo Riccaboni, 2019. "Systemic risk from investment similarities," PLOS ONE, Public Library of Science, vol. 14(5), pages 1-15, May.
    26. Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
    27. Hong Fan & Chirongo Moses Keregero & Qianqian Gao, 2018. "The Application of Macroprudential Capital Requirements in Managing Systemic Risk," Complexity, Hindawi, vol. 2018, pages 1-15, January.
    28. Sadamori Kojaku & Giulio Cimini & Guido Caldarelli & Naoki Masuda, 2018. "Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis," Papers 1802.05139, arXiv.org.
    29. Tiziano Squartini & Guido Caldarelli & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli, 2018. "Reconstruction methods for networks: the case of economic and financial systems," Papers 1806.06941, arXiv.org.
    30. Margarita Baltakienė & Kęstutis Baltakys & Juho Kanniainen & Dino Pedreschi & Fabrizio Lillo, 2019. "Clusters of investors around initial public offering," Palgrave Communications, Palgrave Macmillan, vol. 5(1), pages 1-14, December.
    31. Frank Emmert-Streib & Aliyu Musa & Kestutis Baltakys & Juho Kanniainen & Shailesh Tripathi & Olli Yli-Harja & Herbert Jodlbauer & Matthias Dehmer, 2017. "Computational Analysis of the structural properties of Economic and Financial Networks," Papers 1710.04455, arXiv.org.
    32. Kk{e}stutis Baltakys & Juho Kanniainen & Frank Emmert-Streib, 2017. "Multilayer Aggregation with Statistical Validation: Application to Investor Networks," Papers 1708.09850, arXiv.org, revised May 2018.

  15. Jean-Philippe Bouchaud & Damien Challet, 2016. "Why have asset price properties changed so little in 200 years," Papers 1605.00634, arXiv.org.

    Cited by:

    1. L. Lin & M. Schatz & D. Sornette, 2019. "A simple mechanism for financial bubbles: time-varying momentum horizon," Quantitative Finance, Taylor & Francis Journals, vol. 19(6), pages 937-959, June.
    2. Li Lin & Didier Sornette, 2016. "A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon," Swiss Finance Institute Research Paper Series 16-61, Swiss Finance Institute.
    3. Sabiou Inoua, 2023. "News-driven Expectations and Volatility Clustering," Papers 2309.04876, arXiv.org.
    4. Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2016. "Statistically validated lead-lag networks and inventory prediction in the foreign exchange market," Papers 1609.04640, arXiv.org, revised Jul 2018.
    5. Marco Bardoscia & Daniele d'Arienzo & Matteo Marsili & Valerio Volpati, 2019. "Lost in Diversification," Papers 1901.09795, arXiv.org.
    6. Sabiou M. Inoua, 2020. "News-Driven Expectations and Volatility Clustering," JRFM, MDPI, vol. 13(1), pages 1-14, January.
    7. Sabiou Inoua, 2016. "Speculation and Power Law," Papers 1612.08705, arXiv.org.

  16. Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2016. "Statistically validated lead-lag networks and inventory prediction in the foreign exchange market," Papers 1609.04640, arXiv.org, revised Jul 2018.

    Cited by:

    1. Chen, Zhang-HangJian & Wu, Wang-Long & Li, Sai-Ping & Bao, Kun & Koedijk, Kees G., 2024. "Social media information diffusion and excess stock returns co-movement," International Review of Financial Analysis, Elsevier, vol. 91(C).
    2. Damien Challet & Christian Bongiorno & Guillaume Pelletier, 2021. "Financial factors selection with knockoffs: fund replication, explanatory and prediction networks," Papers 2103.05921, arXiv.org.
    3. Carlo Campajola & Fabrizio Lillo & Daniele Tantari, 2019. "Unveiling the relation between herding and liquidity with trader lead-lag networks," Papers 1909.10807, arXiv.org, revised Mar 2020.
    4. Baptiste Barreau & Laurent Carlier & Damien Challet, 2019. "Deep Prediction of Investor Interest: a Supervised Clustering Approach," Papers 1909.05289, arXiv.org, revised Feb 2021.
    5. Baltakienė, Margarita & Kanniainen, Juho & Baltakys, Kęstutis, 2021. "Identification of information networks in stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
    6. Marcus Cordi & Damien Challet & Serge Kassibrakis, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Post-Print hal-01966419, HAL.

  17. Damien Challet, 2015. "One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics," Papers 1502.05367, arXiv.org, revised Jul 2015.

    Cited by:

    1. Damien Challet, 2017. "Sharper asset ranking from total drawdown durations," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(1), pages 1-22, January.

  18. Damien Challet, 2015. "Sharper asset ranking from total drawdown durations," Papers 1505.01333, arXiv.org, revised Feb 2017.

    Cited by:

    1. Christian Bongiorno & Damien Challet, 2021. "Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning," Post-Print hal-02612262, HAL.

  19. Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2015. "Do investors trade too much? A laboratory experiment," Papers 1512.03743, arXiv.org.

    Cited by:

    1. Olena Onishchenko & Numan Ülkü, 2022. "Investor types' trading around the short‐term reversal pattern," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2627-2647, April.
    2. Jacopo Staccioli & Mauro Napoletano, 2021. "An agent-based model of intra-day financial markets dynamics," Post-Print halshs-03046657, HAL.
    3. Kallinterakis, Vasileios & Karaa, Rabaa, 2023. "From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading," International Review of Financial Analysis, Elsevier, vol. 85(C).
    4. Francesco Cordoni, 2022. "Multi-Asset Bubbles Equilibrium Price Dynamics," Papers 2206.01468, arXiv.org, revised Sep 2024.
    5. Baumann, Michael Heinrich & Baumann, Michaela & Erler, Alexander, 2019. "Limitations of stabilizing effects of fundamentalists: Facing positive feedback traders," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-26.
    6. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    7. Wang, Wei & Lan, Yingjie, 2022. "Robust one-way trading with limited number of transactions and heuristics for fixed transaction costs," International Journal of Production Economics, Elsevier, vol. 247(C).
    8. Ülkü, Numan & Rogers, Madeline, 2018. "Who drives the Monday effect?," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 46-65.
    9. Taylor, Matthew P. & Wozniak, David, 2018. "Gender differences in asset information acquisition," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 19-29.

  20. Jo~ao da Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2014. "Sudden Trust Collapse in Networked Societies," Papers 1409.8321, arXiv.org, revised Mar 2015.

    Cited by:

    1. Federico Guglielmo Morelli & Michael Benzaquen & Marco Tarzia & Jean-Philippe Bouchaud, 2020. "Confidence collapse in a multihousehold, self-reflexive DSGE model," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 117(17), pages 9244-9249, April.
    2. Pietro DeLellis & Anna DiMeglio & Franco Garofalo & Francesco Lo Iudice, 2017. "The evolving cobweb of relations among partially rational investors," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-21, February.
    3. Federico Morelli & Michael Benzaquen & Marco Tarzia & Jean-Philippe Bouchaud, 2020. "Confidence Collapse in a Multi-Household, Self-Reflexive DSGE Model," Post-Print hal-02323098, HAL.
    4. Stanislao Gualdi & Marco Tarzia & Francesco Zamponi & Jean-Philippe Bouchaud, 2017. "Monetary policy and dark corners in a stylized agent-based model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 507-537, October.
    5. Jean-Philippe Bouchaud, 2019. "Econophysics: Still fringe after 30 years?," Papers 1901.03691, arXiv.org.
    6. Aytaç, Beysül & Coqueret, Guillaume & Mandou, Cyrille, 2018. "Herding behavior among wine investors," Economic Modelling, Elsevier, vol. 68(C), pages 318-328.

  21. Mehdi Lallouache & Damien Challet, 2014. "The limits of statistical significance of Hawkes processes fitted to financial data," Papers 1406.3967, arXiv.org, revised Mar 2015.

    Cited by:

    1. Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.
    2. Ioane Muni Toke, 2016. "Reconstruction of Order Flows using Aggregated Data," Post-Print hal-01705074, HAL.
    3. Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014. "Volatility is rough," Papers 1410.3394, arXiv.org.
    4. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Marked point processes and intensity ratios for limit order book modeling," Papers 2001.08442, arXiv.org.
    5. Ioane Muni Toke & Nakahiro Yoshida, 2022. "Marked point processes and intensity ratios for limit order book modeling," Post-Print hal-02465428, HAL.
    6. Nikolaus Graf von Luckner & Rüdiger Kiesel, 2021. "Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process," JRFM, MDPI, vol. 14(4), pages 1-31, April.
    7. Giorgia Callegaro & Andrea Mazzoran & Carlo Sgarra, 2019. "A Self-Exciting Modelling Framework for Forward Prices in Power Markets," Papers 1910.13286, arXiv.org.
    8. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Post-Print hal-01799398, HAL.
    9. Hai-Chuan Xu & Wei-Xing Zhou, 2018. "Modeling aggressive market order placements with Hawkes factor models," Papers 1811.08076, arXiv.org.
    10. Ioane Muni Toke, 2016. "Reconstruction of Order Flows using Aggregated Data," Papers 1604.02759, arXiv.org.
    11. Roger Martins & Dieter Hendricks, 2016. "The statistical significance of multivariate Hawkes processes fitted to limit order book data," Papers 1604.01824, arXiv.org, revised Apr 2016.
    12. Frédéric Abergel & Aymen Jedidi, 2015. "Long-Time Behavior of a Hawkes Process--Based Limit Order Book," Post-Print hal-01121711, HAL.
    13. Shunya Chomei, 2023. "Empirical analysis in limit order book modeling for Nikkei 225 Stocks with Cox-type intensities," Papers 2302.01668, arXiv.org, revised Feb 2023.
    14. Emmanouil Sfendourakis & Ioane Muni Toke, 2021. "LOB modeling using Hawkes processes with a state-dependent factor," Papers 2107.12872, arXiv.org, revised Dec 2021.
    15. Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
    16. Ioane Muni Toke & Nakahiro Yoshida, 2018. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Papers 1805.06682, arXiv.org, revised Aug 2019.

  22. Damien Challet & Ahmed Bel Hadj Ayed, 2014. "Do Google Trend data contain more predictability than price returns?," Papers 1403.1715, arXiv.org.

    Cited by:

    1. Jacques Bughin, 2015. "Google searches and twitter mood: nowcasting telecom sales performance," Netnomics, Springer, vol. 16(1), pages 87-105, August.
    2. Chong, Terence Tai Leung & Li, Chen, 2020. "Search of Attention in Financial Market," MPRA Paper 99003, University Library of Munich, Germany.
    3. Dimitrios Vezeris & Themistoklis Kyrgos & Christos Schinas, 2018. "Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System," JRFM, MDPI, vol. 11(3), pages 1-23, September.
    4. Duarte Queirós, Sílvio M., 2016. "Trading volume in financial markets: An introductory review," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 24-37.
    5. Kim, Neri & Lučivjanská, Katarína & Molnár, Peter & Villa, Roviel, 2019. "Google searches and stock market activity: Evidence from Norway," Finance Research Letters, Elsevier, vol. 28(C), pages 208-220.

  23. Anirban Chakraborti & Damien Challet & Arnab Chatterjee & Matteo Marsili & Yi-Cheng Zhang & Bikas K. Chakrabarti, 2013. "Statistical Mechanics of Competitive Resource Allocation using Agent-based Models," Papers 1305.2121, arXiv.org, revised Sep 2014.

    Cited by:

    1. Anindya S. Chakrabarti & Diptesh Ghosh, 2019. "Emergence of anti-coordination through reinforcement learning in generalized minority games," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 225-245, June.
    2. Kiran Sharma & Subhradeep Das & Anirban Chakraborti, 2017. "Global Income Inequality and Savings: A Data Science Perspective," Papers 1801.00253, arXiv.org, revised Aug 2018.
    3. Vee-Liem Saw & Lock Yue Chew, 2020. "No-boarding buses: Synchronisation for efficiency," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-34, March.
    4. Kiran Sharma & Parul Khurana, 2021. "Growth and dynamics of Econophysics: a bibliometric and network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 126(5), pages 4417-4436, May.
    5. Kiran Sharma & Anamika & Anindya S. Chakrabarti & Anirban Chakraborti & Sujoy Chakravarty, 2017. "The Saga of KPR: Theoretical and Experimental developments," Papers 1712.06358, arXiv.org.
    6. Musciotto, Federico & Marotta, Luca & Miccichè, Salvatore & Piilo, Jyrki & Mantegna, Rosario N., 2016. "Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 267-278.
    7. Miia Bask & Mikael Bask, 2015. "Cumulative (Dis)Advantage and the Matthew Effect in Life-Course Analysis," PLOS ONE, Public Library of Science, vol. 10(11), pages 1-14, November.
    8. Kiran Sharma & Anirban Chakraborti, 2016. "Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?," Papers 1606.06051, arXiv.org, revised Aug 2018.
    9. Anirban Chakraborti & Hrishidev & Kiran Sharma & Hirdesh K. Pharasi, 2019. "Phase separation and scaling in correlation structures of financial markets," Papers 1910.06242, arXiv.org, revised Jul 2020.
    10. Jovanovic, Franck & Mantegna, Rosario N. & Schinckus, Christophe, 2019. "When financial economics influences physics: The role of Econophysics," International Review of Financial Analysis, Elsevier, vol. 65(C).
    11. Hosseiny, Ali & Gallegati, Mauro, 2017. "Role of intensive and extensive variables in a soup of firms in economy to address long run prices and aggregate data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 51-59.
    12. Correia, Matheus M.G. & Barboza, João V.M. & Espíndola, Aquino L., 2021. "Sleeping sickness: An agent-based model approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    13. Xinyu Wang & Liang Zhao & Ning Zhang & Liu Feng & Haibo Lin, 2022. "Stability of China's Stock Market: Measure and Forecast by Ricci Curvature on Network," Papers 2204.06692, arXiv.org.
    14. Hosseiny, Ali, 2017. "A geometrical imaging of the real gap between economies of China and the United States," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 151-161.
    15. Biswas, Soumyajyoti & Mandal, Amit Kr, 2021. "Parallel Minority Game and it’s application in movement optimization during an epidemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 561(C).
    16. Theodore Tsekeris, 2017. "Network analysis of inter-sectoral relationships and key sectors in the Greek economy," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 413-435, July.
    17. S. Agarwal & D. Ghosh & A. S. Chakrabarti, 2016. "Self-organization in a distributed coordination game through heuristic rules," Papers 1608.00213, arXiv.org.
    18. Ghosh, Diptesh & Chakrabarti, Anindya S., 2017. "Emergence of distributed coordination in the Kolkata Paise Restaurant problem with finite information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 16-24.
    19. Stanislao Gualdi & Marco Tarzia & Francesco Zamponi & Jean-Philippe Bouchaud, 2017. "Monetary policy and dark corners in a stylized agent-based model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 507-537, October.
    20. Tao, Yong, 2021. "Boltzmann-like income distribution in low and middle income classes: Evidence from the United Kingdom," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
    21. Yi-Xiu Kong & Guang-Hui Yuan & Lei Zhou & Rui-Jie Wu & Gui-Yuan Shi, 2018. "Competition May Increase Social Utility in Bipartite Matching Problem," Complexity, Hindawi, vol. 2018, pages 1-7, November.
    22. Tao, Yong, 2015. "Universal laws of human society’s income distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 435(C), pages 89-94.
    23. Gennadiy V. Averin* & Anna V. Zviagintseva & Igor S. Konstantinov & Angela A. Shvetsova, 2018. "Method and Criteria for Assessing Sustainable Development," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 181-187:5.

  24. Damien Challet & Ahmed Bel Hadj Ayed, 2013. "Predicting financial markets with Google Trends and not so random keywords," Papers 1307.4643, arXiv.org, revised Mar 2014.

    Cited by:

    1. Ishani Chaudhuri & Parthajit Kayal, 2022. "Predicting Power of Ticker Search Volume in Indian Stock Market," Working Papers 2022-214, Madras School of Economics,Chennai,India.
    2. Cheraghali, Hamid & Høydal, Hannah & Lysebo, Caroline & Molnár, Peter, 2023. "Consumer attention and company performance: Evidence from luxury companies," Finance Research Letters, Elsevier, vol. 58(PA).
    3. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2018. "How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 139-169, January.
    4. Are Oust & Ole Martin Eidjord, 2020. "Can Google Search Data be Used as a Housing Bubble Indicator?," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 267-308.
    5. Cheraghali, Hamid & Igeh, Sofia Aarstad & Lin, Kuan-Heng & Molnár, Peter & Wijerathne, Iddamalgodage, 2022. "Online attention and mutual fund performance: Evidence from Norway," Finance Research Letters, Elsevier, vol. 49(C).
    6. David Garcia & Frank Schweitzer, 2015. "Social signals and algorithmic trading of Bitcoin," Papers 1506.01513, arXiv.org, revised Sep 2015.
    7. Swamy, Vighneswara & Dharani, M. & Takeda, Fumiko, 2019. "Investor attention and Google Search Volume Index: Evidence from an emerging market using quantile regression analysis," Research in International Business and Finance, Elsevier, vol. 50(C), pages 1-17.
    8. Muhammad Ali Nasir & Toan Luu Duc Huynh & Sang Phu Nguyen & Duy Duong, 2019. "Forecasting cryptocurrency returns and volume using search engines," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-13, December.

  25. Pier Paolo Peirano & Damien Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," Post-Print hal-00734355, HAL.

    Cited by:

    1. Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
    2. Fulvio Baldovin & Francesco Camana & Massimiliano Caporin & Michele Caraglio & Attilio L. Stella, 2012. "Ensemble properties of high frequency data and intraday trading rules," Papers 1202.2447, arXiv.org, revised Jul 2013.
    3. Pier Paolo Peirano & Damien Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," Post-Print hal-00734355, HAL.
    4. Kaldasch, Joachim, 2014. "Evolutionary model of stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 449-462.

  26. David Br'ee & Damien Challet & Pier Paolo Peirano, 2010. "Prediction accuracy and sloppiness of log-periodic functions," Papers 1006.2010, arXiv.org.

    Cited by:

    1. Guilherme DEMOS & Qunzhi ZHANG & Didier SORNETTE, 2015. "Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?," Swiss Finance Institute Research Paper Series 15-57, Swiss Finance Institute.
    2. Papastamatiou, Konstantinos & Karakasidis, Theodoros, 2022. "Bubble detection in Greek Stock Market: A DS-LPPLS model approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
    3. Guilherme Demos & Didier Sornette, 2017. "Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles' inceptions," Papers 1707.07162, arXiv.org.
    4. Shu, Min & Zhu, Wei, 2020. "Detection of Chinese stock market bubbles with LPPLS confidence indicator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    5. Fry, John, 2012. "Exogenous and endogenous crashes as phase transitions in complex financial systems," MPRA Paper 36202, University Library of Munich, Germany.
    6. Min Shu & Ruiqiang Song & Wei Zhu, 2021. "The 'COVID' Crash of the 2020 U.S. Stock Market," Papers 2101.03625, arXiv.org.
    7. Sornette, Didier & Woodard, Ryan & Yan, Wanfeng & Zhou, Wei-Xing, 2013. "Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4417-4428.
    8. Zhou, Wei & Huang, Yang & Chen, Jin, 2018. "The bubble and anti-bubble risk resistance analysis on the metal futures in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 947-957.
    9. Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2017. "On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators," Working Papers 201752, University of Pretoria, Department of Economics.
    10. John Fry & McMillan David, 2015. "Stochastic modelling for financial bubbles and policy," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1002152-100, December.
    11. Fry, John, 2013. "Bubbles, shocks and elementary technical trading strategies," MPRA Paper 47052, University Library of Munich, Germany.
    12. Shu, Min & Song, Ruiqiang & Zhu, Wei, 2021. "The ‘COVID’ crash of the 2020 U.S. Stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    13. Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016. "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Swiss Finance Institute Research Paper Series 16-12, Swiss Finance Institute.
    14. Brée, David S. & Joseph, Nathan Lael, 2013. "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 287-297.
    15. Demos, G. & Sornette, D., 2019. "Comparing nested data sets and objectively determining financial bubbles’ inceptions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 661-675.
    16. Samuel W. Akingbade & Marian Gidea & Matteo Manzi & Vahid Nateghi, 2023. "Why Topological Data Analysis Detects Financial Bubbles?," Papers 2304.06877, arXiv.org.
    17. Christopher Lynch & Benjamin Mestel, 2017. "Logistic Model For Stock Market Bubbles And Anti-Bubbles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-24, September.

  27. David Morton de Lachapelle & Damien Challet, 2009. "Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior," Papers 0912.4723, arXiv.org, revised Jun 2010.

    Cited by:

    1. Kevin Primicerio & Damien Challet & Stanislao Gualdi, 2020. "Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors," Post-Print hal-04317258, HAL.
    2. Musciotto, Federico & Marotta, Luca & Miccichè, Salvatore & Piilo, Jyrki & Mantegna, Rosario N., 2016. "Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 267-278.
    3. Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2015. "Do investors trade too much? A laboratory experiment," Papers 1512.03743, arXiv.org.
    4. Takumi Sueshige & Didier Sornette & Hideki Takayasu & Misako Takayasu, 2019. "Classification of position management strategies at the order-book level and their influences on future market-price formation," PLOS ONE, Public Library of Science, vol. 14(8), pages 1-19, August.
    5. Federico Musciotto & Luca Marotta & Jyrki Piilo & Rosario N. Mantegna, 2018. "Long-term ecology of investors in a financial market," Palgrave Communications, Palgrave Macmillan, vol. 4(1), pages 1-12, December.
    6. Kevin Primicerio & Damien Challet & Stanislao Gualdi, 2017. "Wisdom of the institutional crowd," Papers 1703.01989, arXiv.org, revised Sep 2017.
    7. Damien Challet, 2016. "Regrets, learning and wisdom," Papers 1605.01052, arXiv.org.
    8. Takumi Sueshige & Kiyoshi Kanazawa & Hideki Takayasu & Misako Takayasu, 2018. "Ecology of trading strategies in a forex market for limit and market orders," PLOS ONE, Public Library of Science, vol. 13(12), pages 1-14, December.

  28. Challet, Damien & Peirano, Pier Paolo, 2008. "The ups and downs of the renormalization group applied to financial time series," MPRA Paper 9770, University Library of Munich, Germany.

    Cited by:

    1. Fulvio Baldovin & Francesco Camana & Michele Caraglio & Attilio L. Stella & Marco Zamparo, 2012. "Aftershock prediction for high-frequency financial markets' dynamics," Papers 1203.5893, arXiv.org, revised Jul 2012.

  29. Damien Challet & Sorin Solomon & Gur Yaari, 2008. "The universal shape of economic recession and recovery after a shock," Papers 0802.2004, arXiv.org, revised Aug 2009.

    Cited by:

    1. Sorin Solomon & Natasa Golo, 2014. "Microeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent," Papers 1401.7496, arXiv.org.
    2. Priscila Silva & Mariana Hidalgo & Mindy Hotchkiss & Lasitha Dharmasena & Igor Linkov & Lance Fiondella, 2024. "Predictive Resilience Modeling Using Statistical Regression Methods," Mathematics, MDPI, vol. 12(15), pages 1-30, July.
    3. dos Santos, Renato Vieira & da Silva, Linaena Méricy, 2015. "Discreteness induced extinction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 17-25.
    4. Natasa Golo & Guy Kelman & David S. Bree & Leanne Usher & Marco Lamieri & Sorin Solomon, 2015. "Many-to-one contagion of economic growth rate across trade credit network of firms," Papers 1506.01734, arXiv.org.
    5. Popov, Vladimir, 2020. "How to Deal with a Coronavirus Economic Recession?," MPRA Paper 100485, University Library of Munich, Germany.
    6. Betarelli Junior, Admir Antonio & Faria, Weslem Rodrigues & Proque, Andressa Lemes & Perobelli, Fernando Salgueiro & de Almeida Vale, Vinicius, 2021. "COVID-19, public agglomerations and economic effects: Assessing the recovery time of passenger transport services in Brazil," Transport Policy, Elsevier, vol. 110(C), pages 254-272.

  30. Damien Challet & Pier Paolo Peirano, 2008. "The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures," Papers 0807.4163, arXiv.org, revised Jul 2009.

    Cited by:

    1. Fulvio Baldovin & Francesco Camana & Michele Caraglio & Attilio L. Stella & Marco Zamparo, 2012. "Aftershock prediction for high-frequency financial markets' dynamics," Papers 1203.5893, arXiv.org, revised Jul 2012.

  31. Linyuan Lu & Matus Medo & Yi-Cheng Zhang & Damien Challet, 2008. "Emergence of product differentiation from consumer heterogeneity and asymmetric information," Papers 0804.1229, arXiv.org, revised Jun 2008.

    Cited by:

    1. Enrico Maria Fenoaltea & Izat B. Baybusinov & Jianyang Zhao & Lei Zhou & Yi-Cheng Zhang, 2021. "The Stable Marriage Problem: an Interdisciplinary Review from the Physicist's Perspective," Papers 2103.11458, arXiv.org.
    2. Tilles, Paulo F.C. & Ferreira, Fernando F. & Francisco, Gerson & Pereira, Carlos de B. & Sarti, Flavia M., 2011. "A Markovian model market—Akerlof’s lemons and the asymmetry of information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2562-2570.
    3. Gao, Fujuan & Fenoaltea, Enrico Maria & Zhang, Yi-Cheng, 2023. "Market failure in a new model of platform design with partially informed consumers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    4. Liao, Hao & Xiao, Rui & Chen, Duanbing & Medo, Matúš & Zhang, Yi-Cheng, 2014. "Firm competition in a probabilistic framework of consumer choice," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 47-56.

  32. Damien Challet, 2007. "The tick-by-tick dynamical consistency of price impact in limit order books," Papers physics/0702210, arXiv.org, revised Jan 2010.

    Cited by:

    1. Challet, Damien, 2008. "Feedback and efficiency in limit order markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3831-3836.

  33. Thierry Bochud & Damien Challet, 2006. "Optimal approximations of power-laws with exponentials," Papers physics/0605149, arXiv.org, revised May 2006.

    Cited by:

    1. Zhang, Qihu & Park, Cheolwoo & Chung, Jongik, 2021. "Minimax estimation of covariance and precision matrices for high-dimensional time series with long-memory," Statistics & Probability Letters, Elsevier, vol. 177(C).

  34. Damien Challet, 2006. "The demise of constant price impact functions and single-time step models of speculation," Papers physics/0608013, arXiv.org, revised Nov 2006.

    Cited by:

    1. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2011. "How efficiency shapes market impact," Papers 1102.5457, arXiv.org, revised Sep 2013.

  35. Damien Challet, 2005. "Inter-pattern speculation: beyond minority, majority and $-games," Finance 0503006, University Library of Munich, Germany.

    Cited by:

    1. Takero Ibuki & Jun-ichi Inoue, 2011. "Response of double-auction markets to instantaneous Selling–Buying signals with stochastic Bid–Ask spread," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(2), pages 93-120, November.
    2. Anindya S. Chakrabarti & Diptesh Ghosh, 2019. "Emergence of anti-coordination through reinforcement learning in generalized minority games," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 225-245, June.
    3. Karol Wawrzyniak & Wojciech Wislicki, 2011. "Mesoscopic approach to minority games in herd regime," Papers 1112.0210, arXiv.org.
    4. Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
    5. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
    6. Ren, F. & Zhang, Y.C., 2008. "Trading model with pair pattern strategies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5523-5534.
    7. Luca Grilli & Angelo Sfrecola, 2005. "Neural Networks to Predict Financial Time Series in a Minority Game Context," Quaderni DSEMS 14-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    8. S. Agarwal & D. Ghosh & A. S. Chakrabarti, 2016. "Self-organization in a distributed coordination game through heuristic rules," Papers 1608.00213, arXiv.org.
    9. Kei Katahira & Yu Chen, 2019. "Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game," Papers 1909.03185, arXiv.org.
    10. Li-Xin Zhong & Wen-Juan Xu & Ping Huang & Chen-Yang Zhong & Tian Qiu, 2013. "Self-organization and phase transition in financial markets with multiple choices," Papers 1312.0690, arXiv.org, revised Jun 2014.
    11. Li-Xin Zhong & Wen-Juan Xu & Fei Ren & Yong-Dong Shi, 2012. "Coupled effects of market impact and asymmetric sensitivity in financial markets," Papers 1209.3399, arXiv.org, revised Jan 2013.
    12. Zhong, Li-Xin & Xu, Wen-Juan & Ren, Fei & Shi, Yong-Dong, 2013. "Coupled effects of market impact and asymmetric sensitivity in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2139-2149.
    13. B. A. Mello & V. M.C.S. Souza & D. O. Cajueiro & R. F.S. Andrade, 2010. "Network evolution based on minority game with herding behavior," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(1), pages 147-156, July.
    14. Bryce Morsky & Fuwei Zhuang & Zuojun Zhou, 2023. "Social and individual learning in the Minority Game," Papers 2307.11846, arXiv.org, revised Mar 2024.
    15. Ted Theodosopoulos & Ming Yuen, 2006. "Imbalance attractors for a strategic model of market microstructure," Papers math/0605421, arXiv.org.

  36. Damien Challet & Tobias Galla, 2004. "Price return auto-correlation and predictability in agent-based models of financial markets," Papers cond-mat/0404264, arXiv.org, revised Dec 2004.

    Cited by:

    1. Witte, Björn-Christopher, 2011. "Removing systematic patterns in returns in a financial market model by artificially intelligent traders," BERG Working Paper Series 82, Bamberg University, Bamberg Economic Research Group.
    2. Challet, Damien, 2008. "Inter-pattern speculation: Beyond minority, majority and $-games," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.
    3. Simone Bianco & Roberto Reno, 2009. "Unexpected volatility and intraday serial correlation," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 465-475.
    4. Leonidov, Andrei & Trainin, Vladimir & Zaitsev, Alexander & Zaitsev, Sergey, 2007. "Market mill dependence pattern in the stock market: Modeling of predictability and asymmetry via multi-component conditional distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 240-252.
    5. Simone Bianco & Roberto Ren'o, 2006. "Unexpected volatility and intraday serial correlation," Papers physics/0610023, arXiv.org.

  37. Damien Challet & Matteo Marsili & Gabriele Ottino, 2004. "Shedding light on El Farol," Game Theory and Information 0406002, University Library of Munich, Germany.

    Cited by:

    1. Challet, Damien, 2008. "Inter-pattern speculation: Beyond minority, majority and $-games," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.
    2. Chen, Shu-Heng & Gostoli, Umberto, 2013. "Coordination in the El Farol Bar problem: The role of social preferences and social networks," Economics Discussion Papers 2013-20, Kiel Institute for the World Economy (IfW Kiel).
    3. Lustosa, Bernardo C. & Cajueiro, Daniel O., 2010. "Constrained information minority game: How was the night at El Farol?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1230-1238.
    4. Benjamin Patrick Evans & Mikhail Prokopenko, 2022. "Bounded strategic reasoning explains crisis emergence in multi-agent market games," Papers 2206.05568, arXiv.org.
    5. Ritmeester, Tim & Meyer-Ortmanns, Hildegard, 2021. "Minority games played by arbitrageurs on the energy market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    6. Tim Ritmeester & Hildegard Meyer-Ortmanns, 2020. "Minority games played by arbitrageurs on the energy market," Papers 2012.10475, arXiv.org, revised Mar 2021.
    7. Duncan Whitehead, 2008. "The El Farol Bar Problem Revisited: Reinforcement Learning in a Potential Game," Edinburgh School of Economics Discussion Paper Series 186, Edinburgh School of Economics, University of Edinburgh.
    8. Zozor, S. & Ravier, P. & Buttelli, O., 2005. "On Lempel–Ziv complexity for multidimensional data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(1), pages 285-302.
    9. Matzke, Christina & Challet, Damien, 2008. "Taking a shower in Youth Hostels: risks and delights of heterogeneity," Bonn Econ Discussion Papers 1/2008, University of Bonn, Bonn Graduate School of Economics (BGSE).
    10. Shu-Heng Chen & Umberto Gostoli, 2011. "Agent-Based Modeling of the El Farol Bar Problem," ASSRU Discussion Papers 1120, ASSRU - Algorithmic Social Science Research Unit.
    11. Adão, Luiz F.S. & Silveira, Douglas & Ely, Regis A. & Cajueiro, Daniel O., 2022. "The impacts of interest rates on banks’ loan portfolio risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).

  38. Damien Challet & Matteo Marsili, 2002. "Criticality and finite size effects in a simple realistic model of stock market," Papers cond-mat/0210549, arXiv.org, revised Dec 2002.

    Cited by:

    1. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    2. Goldbaum, David, 2006. "Self-organization and the persistence of noise in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1837-1855.
    3. Lux, Thomas & Schornstein, Sascha, 2005. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 169-196, February.
    4. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.
    5. David Morton de Lachapelle & Damien Challet, 2009. "Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior," Papers 0912.4723, arXiv.org, revised Jun 2010.
    6. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2018. "Simulation of Stylized Facts in Agent-Based Computational Economic Market Models," Papers 1812.02726, arXiv.org, revised Nov 2019.
    7. Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
    8. Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908, arXiv.org, revised Nov 2012.
    9. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.

  39. R. D. Willmann & G. M. Schuetz & D. Challet, 2002. "Exact Hurst exponent and crossover behavior in a limit order market model," Papers cond-mat/0206446, arXiv.org.

    Cited by:

    1. Damien Challet & Robin Stinchcombe, 2003. "Non-constant rates and over-diffusive prices in a simple model of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 155-162.
    2. Marc Potters & Jean-Philippe Bouchaud, 2002. "More statistical properties of order books and price impact," Science & Finance (CFM) working paper archive 0210710, Science & Finance, Capital Fund Management.
    3. Ichiki, Shingo & Nishinari, Katsuhiro, 2015. "Simple stochastic order-book model of swarm behavior in continuous double auction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 304-314.
    4. Jiahua Wang & Hongliang Zhu & Dongxin Li, 2018. "Price Dynamics in an Order-Driven Market with Bayesian Learning," Complexity, Hindawi, vol. 2018, pages 1-15, November.
    5. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2019. "Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 97-113.
    6. Shingo Ichiki & Katsuhiro Nishinari, 2014. "Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction," Papers 1411.2215, arXiv.org.

  40. Damien Challet & Robin Stinchcombe, 2002. "Limit order market analysis and modelling: on an universal cause for over-diffusive prices," Papers cond-mat/0211082, arXiv.org.

    Cited by:

    1. Yoshimura, Yushi & Okuda, Hiroshi & Chen, Yu, 2020. "A mathematical formulation of order cancellation for the agent-based modelling of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    2. Jorge V. P鲥z-Rodr z & Beatriz G. L. Valcarcel, 2012. "Do product innovation and news about the R&D process produce large price changes and overreaction? The case of pharmaceutical stock prices," Applied Economics, Taylor & Francis Journals, vol. 44(17), pages 2217-2229, June.
    3. Adam Zawadowski & Gyorgy Andor & Janos Kertesz, 2006. "Short-term market reaction after extreme price changes of liquid stocks," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 283-295.

  41. Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 2001. "Stylized facts of financial markets and market crashes in Minority Games," Papers cond-mat/0101326, arXiv.org.

    Cited by:

    1. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2019. "Detailed study of a moving average trading rule," Papers 1907.00212, arXiv.org.
    2. Zapart, Christopher A., 2009. "On entropy, financial markets and minority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1157-1172.
    3. Stefan Kerbl, 2011. "Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?," Working Papers 174, Oesterreichische Nationalbank (Austrian Central Bank).
    4. Wen-Juan Xu & Li-Xin Zhong, 2022. "Market impact shapes competitive advantage of investment strategies in financial markets," PLOS ONE, Public Library of Science, vol. 17(2), pages 1-23, February.
    5. J{o}rgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Papers 2005.02337, arXiv.org.
    6. 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.
    7. Jun-Jie Chen & Lei Tan & Bo Zheng, 2015. "Agent-based model with multi-level herding for complex financial systems," Papers 1504.01811, arXiv.org.
    8. Simon Cramer & Torsten Trimborn, 2019. "Stylized Facts and Agent-Based Modeling," Papers 1912.02684, arXiv.org.
    9. Vee-Liem Saw & Lock Yue Chew, 2020. "No-boarding buses: Synchronisation for efficiency," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-34, March.
    10. Matteo Ortisi & Valerio Zuccolo, 2012. "From Minority Game to Black & Scholes pricing," Papers 1205.2521, arXiv.org, revised May 2013.
    11. Guglielmo Maria Caporale & Antoaneta Serguieva & Hao Wu, 2009. "Financial contagion: evolutionary optimization of a multinational agent‐based model," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(1‐2), pages 111-125, January.
    12. Linde, Jona & Gietl, Daniel & Sonnemans, Joep & Tuinstra, Jan, 2023. "The effect of quantity and quality of information in strategy tournaments," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 305-323.
    13. Xu, C. & Gu, G.-Q. & Hui, P.M., 2024. "Impacts of an expert’s opinion on the collective performance of a competing population for limited resources," Chaos, Solitons & Fractals, Elsevier, vol. 183(C).
    14. Marsili, Matteo, 2001. "Market mechanism and expectations in minority and majority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 93-103.
    15. Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2007. "Empirical regularities of order placement in the Chinese stock market," Papers 0712.0912, arXiv.org.
    16. Lisa Borland & Yoan Hassid, 2010. "Market panic on different time-scales," Papers 1010.4917, arXiv.org.
    17. Benjamin Patrick Evans & Mikhail Prokopenko, 2022. "Bounded strategic reasoning explains crisis emergence in multi-agent market games," Papers 2206.05568, arXiv.org.
    18. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
    19. David Goldbaum, 2016. "Conformity and Influence," Working Paper Series 35, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    20. Andersen, Jørgen Vitting & de Peretti, Philippe, 2021. "Heuristics in experiments with infinitely large strategy spaces," Journal of Business Research, Elsevier, vol. 129(C), pages 612-620.
    21. Jørgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Post-Print hal-02435934, HAL.
    22. Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
    23. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
    24. Jun-Jie Chen & Bo Zheng & Lei Tan, 2013. "Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems," PLOS ONE, Public Library of Science, vol. 8(11), pages 1-11, November.
    25. Ren, F. & Zhang, Y.C., 2008. "Trading model with pair pattern strategies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5523-5534.
    26. Ferreira, Fernando F & Francisco, Gerson & Machado, Birajara S & Muruganandam, Paulsamy, 2003. "Time series analysis for minority game simulations of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 321(3), pages 619-632.
    27. Yong Shi & Bo Li & Guangle Du, 2021. "Pyramid scheme in stock market: a kind of financial market simulation," Papers 2102.02179, arXiv.org, revised Feb 2021.
    28. Linde, Jona & Sonnemans, Joep & Tuinstra, Jan, 2014. "Strategies and evolution in the minority game: A multi-round strategy experiment," Games and Economic Behavior, Elsevier, vol. 86(C), pages 77-95.
    29. Iris Lucas & Michel Cotsaftis & Cyrille Bertelle, 2018. "Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach," Post-Print hal-02114928, HAL.
    30. Sato, Aki-Hiro, 2004. "Time interval between successive trading in foreign currency market: from microscopic to macroscopic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 211-215.
    31. Huang, Weihong & Zheng, Huanhuan, 2012. "Financial crises and regime-dependent dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 82(2), pages 445-461.
    32. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017. "An empirical behavioural order-driven model with price limit rules," Papers 1704.04354, arXiv.org.
    33. Kei Katahira & Yu Chen, 2019. "Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game," Papers 1909.03185, arXiv.org.
    34. Wei, J.R. & Huang, J.P. & Hui, P.M., 2013. "An agent-based model of stock markets incorporating momentum investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(12), pages 2728-2735.
    35. Jun-jie Chen & Bo Zheng & Lei Tan, 2014. "Agent-based model with asymmetric trading and herding for complex financial systems," Papers 1407.5258, arXiv.org.
    36. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2020. "Robust Mathematical Formulation And Probabilistic Description Of Agent-Based Computational Economic Market Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 23(06), pages 1-41, September.
    37. Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
    38. Iris Lucas & Michel Cotsaftis & Cyrille Bertelle, 2017. "Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems," Post-Print hal-02114933, HAL.
    39. Fan, Feng-Hua & Deng, Yanbin & Huang, Yong-Chang, 2017. "Investigation on financial crises with the negative-information-propagation-induced model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 94-104.
    40. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2019. "Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models," Papers 1904.04951, arXiv.org, revised Mar 2021.
    41. Groot, Robert D. & Musters, Pieter A.D., 2005. "Minority Game of price promotions in fast moving consumer goods markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 533-547.
    42. Weihong Huang & Huanhuan Zheng & Wai-Mun Chia, 2013. "Asymmetric returns, gradual bubbles and sudden crashes," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 420-437, May.
    43. Andreas Krause, 2009. "Evaluating the performance of adapting trading strategies with different memory lengths," Papers 0901.0447, arXiv.org.
    44. Ming-Yuan Yang & Sai-Ping Li & Li-Xin Zhong & Fei Ren, 2018. "Modelling stock correlations with expected returns from investors," Papers 1803.02019, arXiv.org, revised Mar 2018.
    45. Katahira, Kei & Chen, Yu & Akiyama, Eizo, 2021. "Self-organized Speculation Game for the spontaneous emergence of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    46. Wen-Juan Xu & Chen-Yang Zhong & Fei Ren & Tian Qiu & Rong-Da Chen & Yun-Xin He & Li-Xin Zhong, 2020. "Evolutionary dynamics in financial markets with heterogeneities in strategies and risk tolerance," Papers 2010.08962, arXiv.org.
    47. Maslov, Sergei & Mills, Mark, 2001. "Price fluctuations from the order book perspective—empirical facts and a simple model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 234-246.
    48. Elena Green & Daniel M. Heffernan, 2019. "An Agent-Based Model to Explain the Emergence of Stylised Facts in Log Returns," Papers 1901.05053, arXiv.org.
    49. Jørgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02435934, HAL.
    50. Moncada, J.A. & Lukszo, Z. & Junginger, M. & Faaij, A. & Weijnen, M., 2017. "A conceptual framework for the analysis of the effect of institutions on biofuel supply chains," Applied Energy, Elsevier, vol. 185(P1), pages 895-915.
    51. Bryce Morsky & Fuwei Zhuang & Zuojun Zhou, 2023. "Social and individual learning in the Minority Game," Papers 2307.11846, arXiv.org, revised Mar 2024.
    52. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.

  42. Damien Challet & Robin Stinchcombe, 2001. "Analyzing and modelling 1+1d markets," Papers cond-mat/0106114, arXiv.org, revised Jun 2001.

    Cited by:

    1. Eric Smith & J. Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy, 2002. "Statistical theory of the continuous double auction," Papers cond-mat/0210475, arXiv.org.
    2. Wei-Xing Zhou, 2012. "Universal price impact functions of individual trades in an order-driven market," Quantitative Finance, Taylor & Francis Journals, vol. 12(8), pages 1253-1263, June.
    3. Szabolcs Mike & J. Doyne Farmer, 2007. "An empirical behavioral model of liquidity and volatility," Papers 0709.0159, arXiv.org.
    4. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2014. "Effects of Limit Order Book Information Level on Market Stability Metrics," Working Papers 14-09, Office of Financial Research, US Department of the Treasury.
    5. Cappellini, Alessandro & Ferraris, Gianluigi, 2007. "Waiting Times in Simulated Stock Markets," MPRA Paper 7324, University Library of Munich, Germany.
    6. Mohammed Salek & Damien Challet & Ioane Muni Toke, 2024. "Equity auction dynamics: latent liquidity models with activity acceleration," Papers 2401.06724, arXiv.org, revised Jul 2024.
    7. Marc Potters & Jean-Philippe Bouchaud, 2002. "More statistical properties of order books and price impact," Science & Finance (CFM) working paper archive 0210710, Science & Finance, Capital Fund Management.
    8. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: II. Agent-based models," Post-Print hal-00621059, HAL.
    9. Potters, Marc & Bouchaud, Jean-Philippe, 2003. "More statistical properties of order books and price impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 133-140.
    10. Marcus G. Daniels & J. Doyne Farmer & Giulia Iori & Eric Smith, 2002. "Demand Storage, Market Liquidity, and Price Volatility," Working Papers 02-01-001, Santa Fe Institute.
    11. Frédéric Abergel & Aymen Jedidi, 2013. "A Mathematical Approach to Order Book Modelling," Post-Print hal-00621253, HAL.
    12. Kylie-Anne Richards & Gareth W. Peters & William Dunsmuir, 2012. "Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets," Papers 1210.7215, arXiv.org, revised Apr 2015.
    13. Ichiki, Shingo & Nishinari, Katsuhiro, 2015. "Simple stochastic order-book model of swarm behavior in continuous double auction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 304-314.
    14. J. Doyne Farmer & Paolo Patelli & Ilija I. Zovko, 2003. "The Predictive Power of Zero Intelligence in Financial Markets," Papers cond-mat/0309233, arXiv.org, revised Feb 2004.
    15. Jeannin, M. & Iori, G. & Samuel, D., 2006. "Modeling stock pinning," Working Papers 06/04, Department of Economics, City University London.
    16. Kazuto Sasai & Yukio-Pegio Gunji & Tetsuo Kinoshita, 2017. "Intermittent Behavior Induced By Asynchronous Interactions In A Continuous Double Auction Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 20(02n03), pages 1-21, March.
    17. Ioane Muni Toke, 2011. ""Market making" behaviour in an order book model and its impact on the bid-ask spread," Post-Print hal-01705266, HAL.
    18. Iori, G. & Daniels, M.G. & Farmer, J.D. & Gillemot, L. & Krishnamurthy, S. & Smith, E., 2003. "An analysis of price impact function in order-driven markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 146-151.
    19. Boilard, J.-F. & Kanazawa, K. & Takayasu, H. & Takayasu, M., 2018. "Empirical scaling relations of market event rates in foreign currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1152-1161.
    20. Shingo Ichiki & Katsuhiro Nishinari, 2014. "Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction," Papers 1411.2215, arXiv.org.
    21. Lublóy, Ágnes & Gyarmati, Ákos & Váradi, Kata, 2012. "Virtuális árhatás a Budapesti Értéktőzsdén [Virtual price effects on the Budapest stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 508-539.
    22. Schinckus, C., 2013. "Between complexity of modelling and modelling of complexity: An essay on econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3654-3665.
    23. Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Science & Finance (CFM) working paper archive 0203511, Science & Finance, Capital Fund Management.
    24. Aaron Wheeler & Jeffrey D. Varner, 2024. "MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series," Papers 2411.16585, arXiv.org.
    25. Chiarella, Carl & Iori, Giulia, 2009. "The impact of heterogeneous trading rules on the limit order book and order flows," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 525-537.
    26. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "Quasi-Centralized Limit Order Books," Papers 1502.00680, arXiv.org, revised Oct 2016.
    27. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical shape function of limit-order books in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5182-5188.
    28. Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009. "Diffusive behavior and the modeling of characteristic times in limit order executions," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.
    29. Xinyang Li & Andreas Krause, 2011. "An evolutionary multi‐objective optimization of trading rules in call markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 18(1), pages 1-14, January.
    30. Kononovicius, Aleksejus & Ruseckas, Julius, 2019. "Order book model with herd behavior exhibiting long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 171-191.
    31. Xinyang Li & Andreas Krause, 2010. "Determining the optimal market structure using near-zero intelligence traders," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 5(2), pages 155-167, December.
    32. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: II. Agent-based models," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1013-1041.
    33. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: I. Empirical facts," Post-Print hal-00621058, HAL.
    34. Ioane Muni Toke & Nakahiro Yoshida, 2017. "Modelling intensities of order flows in a limit order book," Post-Print hal-01705080, HAL.
    35. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
    36. Szabolcs Mike & J. Doyne Farmer, 2005. "An empirical behavioral model of price formation," Papers physics/0509194, arXiv.org, revised Oct 2005.
    37. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
    38. Gyarmati, Ákos & Lublóy, Ágnes & Váradi, Kata, 2012. "The Budapest liquidity measure and the price impact function," MPRA Paper 40339, University Library of Munich, Germany.
    39. Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou & H Eugene Stanley, 2016. "Limit-order book resiliency after effective market orders: Spread, depth and intensity," Papers 1602.00731, arXiv.org, revised Feb 2017.
    40. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
    41. Marcus G. Daniels & J. Doyne Farmer & Laszlo Gillemot & Giulia Iori & Eric Smith, 2001. "A quantitative model of trading and price formation in financial markets," Papers cond-mat/0112422, arXiv.org, revised Dec 2002.
    42. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    43. Aleksejus Kononovicius & Julius Ruseckas, 2018. "Order book model with herd behavior exhibiting long-range memory," Papers 1809.02772, arXiv.org, revised Apr 2019.
    44. Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive 0307332, Science & Finance, Capital Fund Management.

  43. D. Challet & M. Marsili & Y. -C. Zhang, 2001. "Minority Games and stylized facts," Papers cond-mat/0103024, arXiv.org, revised Mar 2001.

    Cited by:

    1. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2019. "Detailed study of a moving average trading rule," Papers 1907.00212, arXiv.org.
    2. Zapart, Christopher A., 2009. "On entropy, financial markets and minority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1157-1172.
    3. Stefan Kerbl, 2011. "Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?," Working Papers 174, Oesterreichische Nationalbank (Austrian Central Bank).
    4. J{o}rgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Papers 2005.02337, arXiv.org.
    5. 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.
    6. Jun-Jie Chen & Lei Tan & Bo Zheng, 2015. "Agent-based model with multi-level herding for complex financial systems," Papers 1504.01811, arXiv.org.
    7. Simon Cramer & Torsten Trimborn, 2019. "Stylized Facts and Agent-Based Modeling," Papers 1912.02684, arXiv.org.
    8. Vee-Liem Saw & Lock Yue Chew, 2020. "No-boarding buses: Synchronisation for efficiency," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-34, March.
    9. Guglielmo Maria Caporale & Antoaneta Serguieva & Hao Wu, 2009. "Financial contagion: evolutionary optimization of a multinational agent‐based model," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(1‐2), pages 111-125, January.
    10. Marsili, Matteo, 2001. "Market mechanism and expectations in minority and majority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 93-103.
    11. Gao, Yan & Li, Honggang, 2011. "A consolidated model of self-fulfilling expectations and self-destroying expectations in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 77(3), pages 368-381, March.
    12. Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2007. "Empirical regularities of order placement in the Chinese stock market," Papers 0712.0912, arXiv.org.
    13. Lisa Borland & Yoan Hassid, 2010. "Market panic on different time-scales," Papers 1010.4917, arXiv.org.
    14. Benjamin Patrick Evans & Mikhail Prokopenko, 2022. "Bounded strategic reasoning explains crisis emergence in multi-agent market games," Papers 2206.05568, arXiv.org.
    15. David Goldbaum, 2016. "Conformity and Influence," Working Paper Series 35, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    16. Andersen, Jørgen Vitting & de Peretti, Philippe, 2021. "Heuristics in experiments with infinitely large strategy spaces," Journal of Business Research, Elsevier, vol. 129(C), pages 612-620.
    17. Jørgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Post-Print hal-02435934, HAL.
    18. Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
    19. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
    20. Jun-Jie Chen & Bo Zheng & Lei Tan, 2013. "Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems," PLOS ONE, Public Library of Science, vol. 8(11), pages 1-11, November.
    21. Ren, F. & Zhang, Y.C., 2008. "Trading model with pair pattern strategies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5523-5534.
    22. Ferreira, Fernando F & Francisco, Gerson & Machado, Birajara S & Muruganandam, Paulsamy, 2003. "Time series analysis for minority game simulations of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 321(3), pages 619-632.
    23. Yong Shi & Bo Li & Guangle Du, 2021. "Pyramid scheme in stock market: a kind of financial market simulation," Papers 2102.02179, arXiv.org, revised Feb 2021.
    24. Damien Challet & Tobias Galla, 2004. "Price return auto-correlation and predictability in agent-based models of financial markets," Papers cond-mat/0404264, arXiv.org, revised Dec 2004.
    25. Linde, Jona & Sonnemans, Joep & Tuinstra, Jan, 2014. "Strategies and evolution in the minority game: A multi-round strategy experiment," Games and Economic Behavior, Elsevier, vol. 86(C), pages 77-95.
    26. Iris Lucas & Michel Cotsaftis & Cyrille Bertelle, 2018. "Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach," Post-Print hal-02114928, HAL.
    27. Sato, Aki-Hiro, 2004. "Time interval between successive trading in foreign currency market: from microscopic to macroscopic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 211-215.
    28. Huang, Weihong & Zheng, Huanhuan, 2012. "Financial crises and regime-dependent dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 82(2), pages 445-461.
    29. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017. "An empirical behavioural order-driven model with price limit rules," Papers 1704.04354, arXiv.org.
    30. Kei Katahira & Yu Chen, 2019. "Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game," Papers 1909.03185, arXiv.org.
    31. Wei, J.R. & Huang, J.P. & Hui, P.M., 2013. "An agent-based model of stock markets incorporating momentum investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(12), pages 2728-2735.
    32. Jun-jie Chen & Bo Zheng & Lei Tan, 2014. "Agent-based model with asymmetric trading and herding for complex financial systems," Papers 1407.5258, arXiv.org.
    33. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2020. "Robust Mathematical Formulation And Probabilistic Description Of Agent-Based Computational Economic Market Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 23(06), pages 1-41, September.
    34. Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
    35. Iris Lucas & Michel Cotsaftis & Cyrille Bertelle, 2017. "Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems," Post-Print hal-02114933, HAL.
    36. Fan, Feng-Hua & Deng, Yanbin & Huang, Yong-Chang, 2017. "Investigation on financial crises with the negative-information-propagation-induced model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 94-104.
    37. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2019. "Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models," Papers 1904.04951, arXiv.org, revised Mar 2021.
    38. Groot, Robert D. & Musters, Pieter A.D., 2005. "Minority Game of price promotions in fast moving consumer goods markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 533-547.
    39. Weihong Huang & Huanhuan Zheng & Wai-Mun Chia, 2013. "Asymmetric returns, gradual bubbles and sudden crashes," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 420-437, May.
    40. Andreas Krause, 2009. "Evaluating the performance of adapting trading strategies with different memory lengths," Papers 0901.0447, arXiv.org.
    41. Katahira, Kei & Chen, Yu & Akiyama, Eizo, 2021. "Self-organized Speculation Game for the spontaneous emergence of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    42. Wen-Juan Xu & Chen-Yang Zhong & Fei Ren & Tian Qiu & Rong-Da Chen & Yun-Xin He & Li-Xin Zhong, 2020. "Evolutionary dynamics in financial markets with heterogeneities in strategies and risk tolerance," Papers 2010.08962, arXiv.org.
    43. Maslov, Sergei & Mills, Mark, 2001. "Price fluctuations from the order book perspective—empirical facts and a simple model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 234-246.
    44. Elena Green & Daniel M. Heffernan, 2019. "An Agent-Based Model to Explain the Emergence of Stylised Facts in Log Returns," Papers 1901.05053, arXiv.org.
    45. Jørgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02435934, HAL.
    46. Moncada, J.A. & Lukszo, Z. & Junginger, M. & Faaij, A. & Weijnen, M., 2017. "A conceptual framework for the analysis of the effect of institutions on biofuel supply chains," Applied Energy, Elsevier, vol. 185(P1), pages 895-915.
    47. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.

  44. M. Marsili & D. Challet, 2000. "Trading behavior and excess volatility in toy markets," Papers cond-mat/0004376, arXiv.org, revised Jun 2000.

    Cited by:

    1. Willemien Kets, 2007. "The minority game: An economics perspective," Papers 0706.4432, arXiv.org.
    2. Giorgio Fagiolo & Marco Valente, 2005. "Minority Games, Local Interactions, and Endogenous Networks," Computational Economics, Springer;Society for Computational Economics, vol. 25(1), pages 41-57, February.
    3. Marsili, Matteo, 2001. "Market mechanism and expectations in minority and majority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 93-103.
    4. Płatkowski, Tadeusz & Ramsza, Michał, 2003. "Playing minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 726-734.
    5. Damien Challet & Tobias Galla, 2004. "Price return auto-correlation and predictability in agent-based models of financial markets," Papers cond-mat/0404264, arXiv.org, revised Dec 2004.

  45. D. Challet & A. Chessa & M. Marsili & Y. -C. Zhang, 2000. "From Minority Games to real markets," Papers cond-mat/0011042, arXiv.org.

    Cited by:

    1. Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2006. "Random walks, liquidity molasses and critical response in financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 115-123.
    2. J. Wiesinger & D. Sornette & J. Satinover, 2013. "Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 41(4), pages 475-492, April.
    3. Wen-Juan Xu & Li-Xin Zhong, 2022. "Market impact shapes competitive advantage of investment strategies in financial markets," PLOS ONE, Public Library of Science, vol. 17(2), pages 1-23, February.
    4. Challet, Damien, 2008. "Inter-pattern speculation: Beyond minority, majority and $-games," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.
    5. David Goldbaum, 2008. "Follow the Leader: Simulations on a Dynamic Social Network," Working Paper Series 155, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    6. Matteo Ortisi & Valerio Zuccolo, 2012. "From Minority Game to Black & Scholes pricing," Papers 1205.2521, arXiv.org, revised May 2013.
    7. Wagner, D.C. & Schmitt, T.A. & Schäfer, R. & Guhr, T. & Wolf, D.E., 2014. "Analysis of a decision model in the context of equilibrium pricing and order book pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 347-353.
    8. Marsili, Matteo, 2001. "Market mechanism and expectations in minority and majority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 93-103.
    9. Daniel C. Wagner & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr & Dietrich E. Wolf, 2014. "Analysis of a decision model in the context of equilibrium pricing and order book pricing," Papers 1404.7356, arXiv.org.
    10. Yang, G. & Chen, Y. & Huang, J.P., 2016. "The highly intelligent virtual agents for modeling financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 98-108.
    11. Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2007. "Empirical regularities of order placement in the Chinese stock market," Papers 0712.0912, arXiv.org.
    12. Ritmeester, Tim & Meyer-Ortmanns, Hildegard, 2021. "Minority games played by arbitrageurs on the energy market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    13. Tim Ritmeester & Hildegard Meyer-Ortmanns, 2020. "Minority games played by arbitrageurs on the energy market," Papers 2012.10475, arXiv.org, revised Mar 2021.
    14. Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
    15. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
    16. Ren, F. & Zhang, Y.C., 2008. "Trading model with pair pattern strategies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5523-5534.
    17. Luca Grilli & Angelo Sfrecola, 2005. "Neural Networks to Predict Financial Time Series in a Minority Game Context," Quaderni DSEMS 14-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    18. Miquel Montero, 2021. "Predator–prey model for stock market fluctuations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 29-57, January.
    19. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008. "Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 101-136, January.
    20. Alfarano, Simone & Lux, Thomas, 2006. "A minimal noise trader model with realistic time series properties," Economics Working Papers 2006-11, Christian-Albrechts-University of Kiel, Department of Economics.
    21. Ahmed El OUBANI & Mostafa LEKHAL, 2022. "Conception d’un modèle microscopique adapté aux marchés financiers émergents," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(1), pages 17-30, June.
    22. David Morton de Lachapelle & Damien Challet, 2009. "Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior," Papers 0912.4723, arXiv.org, revised Jun 2010.
    23. Matthieu Garcin, 2023. "Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis," Papers 2305.13123, arXiv.org.
    24. Mine Caglar, 2011. "Stock Price Processes with Infinite Source Poisson Agents," Papers 1106.6300, arXiv.org.
    25. Wyart, Matthieu & Bouchaud, Jean-Philippe, 2007. "Self-referential behaviour, overreaction and conventions in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 1-24, May.
    26. J. Doyne Farmer & Laszlo Gillemot & Fabrizio Lillo & Szabolcs Mike & Anindya Sen, 2004. "What really causes large price changes?," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 383-397.
    27. Kei Katahira & Yu Chen, 2019. "Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game," Papers 1909.03185, arXiv.org.
    28. Alfarano, Simone & Lux, Thomas, 2007. "A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 80-101, November.
    29. Gunter M. Schutz & Fernando Pigeard de Almeida Prado & Rosemary J. Harris & Vladimir Belitsky, 2007. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Papers 0801.0003, arXiv.org, revised Jun 2009.
    30. Vogl, Markus, 2023. "Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
    31. Schütz, Gunter M. & de Almeida Prado, Fernando Pigeard & Harris, Rosemary J. & Belitsky, Vladimir, 2009. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4126-4144.
    32. Ming-Yuan Yang & Sai-Ping Li & Li-Xin Zhong & Fei Ren, 2018. "Modelling stock correlations with expected returns from investors," Papers 1803.02019, arXiv.org, revised Mar 2018.
    33. Katahira, Kei & Chen, Yu & Akiyama, Eizo, 2021. "Self-organized Speculation Game for the spontaneous emergence of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    34. Martorell, Carles & Calvo, Rubén & Annibale, Alessia & Muñoz, Miguel A., 2024. "Dynamically selected steady states and criticality in non-reciprocal networks," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
    35. Wen-Juan Xu & Chen-Yang Zhong & Fei Ren & Tian Qiu & Rong-Da Chen & Yun-Xin He & Li-Xin Zhong, 2020. "Evolutionary dynamics in financial markets with heterogeneities in strategies and risk tolerance," Papers 2010.08962, arXiv.org.
    36. L. Borland & J. -Ph. Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Papers physics/0507073, arXiv.org.
    37. Park, Daehyeon & Ryu, Doojin & Webb, Robert I., 2024. "Fear of missing out and market stability: A networked minority game approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 634(C).
    38. David Goldbaum, 2009. "Follow the Leader: Steady State Analysis of a Dynamic Social Network," Working Paper Series 158, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    39. Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908, arXiv.org, revised Nov 2012.
    40. Lisa Borland & Jean-Philippe Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Science & Finance (CFM) working paper archive 500059, Science & Finance, Capital Fund Management.
    41. Matthieu Garcin, 2023. "Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis," Working Papers hal-04102815, HAL.
    42. Bryce Morsky & Fuwei Zhuang & Zuojun Zhou, 2023. "Social and individual learning in the Minority Game," Papers 2307.11846, arXiv.org, revised Mar 2024.
    43. Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive 0307332, Science & Finance, Capital Fund Management.
    44. Matthieu Wyart & Jean-Philippe Bouchaud, 2003. "Self-referential behaviour, overreaction and conventions in financial markets," Science & Finance (CFM) working paper archive 500020, Science & Finance, Capital Fund Management.

  46. D. Challet & M. Marsili & R. Zecchina, 2000. "Comment on: Thermal model for Adaptive Competition in a Market," Papers cond-mat/0004308, arXiv.org, revised May 2000.

    Cited by:

    1. Willemien Kets, 2007. "The minority game: An economics perspective," Papers 0706.4432, arXiv.org.

  47. Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 1999. "Modeling Market Mechanism with Minority Game," Papers cond-mat/9909265, arXiv.org.

    Cited by:

    1. Helbing, Dirk & Kern, Daniel, 2000. "Non-equilibrium price theories," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(1), pages 259-268.
    2. Giorgio Fagiolo & Marco Valente, 2005. "Minority Games, Local Interactions, and Endogenous Networks," Computational Economics, Springer;Society for Computational Economics, vol. 25(1), pages 41-57, February.
    3. J{o}rgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Papers 2005.02337, arXiv.org.
    4. Challet, Damien, 2008. "Inter-pattern speculation: Beyond minority, majority and $-games," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.
    5. Vee-Liem Saw & Lock Yue Chew, 2020. "No-boarding buses: Synchronisation for efficiency," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-34, March.
    6. Lustosa, Bernardo C. & Cajueiro, Daniel O., 2010. "Constrained information minority game: How was the night at El Farol?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1230-1238.
    7. A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2001. "Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos," Papers cond-mat/0109410, arXiv.org.
    8. Groot, Robert D., 2005. "Lévy distribution and long correlation times in supermarket sales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 501-514.
    9. Linde, Jona & Gietl, Daniel & Sonnemans, Joep & Tuinstra, Jan, 2023. "The effect of quantity and quality of information in strategy tournaments," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 305-323.
    10. Matteo Marsili & Damien Challet, 2001. "Trading Behavior And Excess Volatility In Toy Markets," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 3-17.
    11. Tilles, Paulo F.C. & Ferreira, Fernando F. & Francisco, Gerson & Pereira, Carlos de B. & Sarti, Flavia M., 2011. "A Markovian model market—Akerlof’s lemons and the asymmetry of information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2562-2570.
    12. Sato, Aki-Hiro, 2007. "Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 258-270.
    13. Paolo Laureti & Peter Ruch & Joseph Wakeling & Yi-Cheng Zhang, 2004. "The Interactive Minority Game: a Web based investigation of human market interactions," Experimental 0402004, University Library of Munich, Germany.
    14. Laureti, Paolo & Ruch, Peter & Wakeling, Joseph & Zhang, Yi-Cheng, 2004. "The Interactive Minority Game: a Web-based investigation of human market interactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 331(3), pages 651-659.
    15. Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2007. "Empirical regularities of order placement in the Chinese stock market," Papers 0712.0912, arXiv.org.
    16. Tiago Colliri & Fernando F. Ferreira, 2012. "Stock prices assessment: proposal of a new index based on volume weighted historical prices through the use of computer modeling," Papers 1206.5224, arXiv.org, revised Sep 2012.
    17. Ritmeester, Tim & Meyer-Ortmanns, Hildegard, 2021. "Minority games played by arbitrageurs on the energy market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    18. Dionisis Th Philippas & Catalin Dragomirescu-Gaina & Stéphane Goutte & Duc Khuong Nguyen, 2021. "Investors’ attention and information losses under market stress," Post-Print hal-03434918, HAL.
    19. Andersen, Jørgen Vitting & de Peretti, Philippe, 2021. "Heuristics in experiments with infinitely large strategy spaces," Journal of Business Research, Elsevier, vol. 129(C), pages 612-620.
    20. Jørgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Post-Print hal-02435934, HAL.
    21. Xin, C. & Yang, G. & Huang, J.P., 2017. "Ising game: Nonequilibrium steady states of resource-allocation systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 666-673.
    22. Płatkowski, Tadeusz & Ramsza, Michał, 2003. "Playing minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 726-734.
    23. Tim Ritmeester & Hildegard Meyer-Ortmanns, 2020. "Minority games played by arbitrageurs on the energy market," Papers 2012.10475, arXiv.org, revised Mar 2021.
    24. Matthew Dicks & Andrew Paskaramoorthy & Tim Gebbie, 2023. "Many learning agents interacting with an agent-based market model," Papers 2303.07393, arXiv.org, revised Aug 2024.
    25. Yong Shi & Bo Li & Guangle Du, 2021. "Pyramid scheme in stock market: a kind of financial market simulation," Papers 2102.02179, arXiv.org, revised Feb 2021.
    26. Linde, Jona & Sonnemans, Joep & Tuinstra, Jan, 2014. "Strategies and evolution in the minority game: A multi-round strategy experiment," Games and Economic Behavior, Elsevier, vol. 86(C), pages 77-95.
    27. Miquel Montero, 2021. "Predator–prey model for stock market fluctuations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 29-57, January.
    28. Mello, Bernardo A. & Cajueiro, Daniel O., 2008. "Minority games, diversity, cooperativity and the concept of intelligence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 557-566.
    29. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017. "An empirical behavioural order-driven model with price limit rules," Papers 1704.04354, arXiv.org.
    30. Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers 12/08, Department of Economics, City University London.
    31. Marsili, Matteo & Challet, Damien & Zecchina, Riccardo, 2000. "Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 522-553.
    32. Groot, Robert D. & Musters, Pieter A.D., 2005. "Minority Game of price promotions in fast moving consumer goods markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 533-547.
    33. Andreas Krause, 2009. "Evaluating the performance of adapting trading strategies with different memory lengths," Papers 0901.0447, arXiv.org.
    34. Ming-Yuan Yang & Sai-Ping Li & Li-Xin Zhong & Fei Ren, 2018. "Modelling stock correlations with expected returns from investors," Papers 1803.02019, arXiv.org, revised Mar 2018.
    35. Maslov, Sergei & Mills, Mark, 2001. "Price fluctuations from the order book perspective—empirical facts and a simple model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 234-246.
    36. Jørgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02435934, HAL.
    37. R. D. Groot, 2004. "Levy distribution and long correlation times in supermarket sales," Papers cond-mat/0412163, arXiv.org.
    38. Drabik Ewa, 2011. "Classical and Quantum Physics in Selected Economic Models," Foundations of Management, Sciendo, vol. 3(1), pages 7-20, January.
    39. Drabik Ewa, 2012. "On Certain Analogies Between the Laws of Quantum Mechanics and Rules of an English Auction," Folia Oeconomica Stetinensia, Sciendo, vol. 10(2), pages 19-34, January.

Articles

  1. Jérémi Assael & Laurent Carlier & Damien Challet, 2023. "Dissecting the Explanatory Power of ESG Features on Equity Returns by Sector, Capitalization, and Year with Interpretable Machine Learning," JRFM, MDPI, vol. 16(3), pages 1-22, March.
    See citations under working paper version above.
  2. Bongiorno, Christian & Challet, Damien, 2023. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization," Finance Research Letters, Elsevier, vol. 52(C).
    See citations under working paper version above.
  3. Christian Bongiorno & Damien Challet, 2022. "Reactive global minimum variance portfolios with k-BAHC covariance cleaning," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1344-1360, October.
    See citations under working paper version above.
  4. Christian Bongiorno & Damien Challet, 2021. "Covariance matrix filtering with bootstrapped hierarchies," PLOS ONE, Public Library of Science, vol. 16(1), pages 1-13, January.
    See citations under working paper version above.
  5. Marcus Cordi & Damien Challet & Serge Kassibrakis, 2021. "The market nanostructure origin of asset price time reversal asymmetry," Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 295-304, February.
    See citations under working paper version above.
  6. Damien Challet & Alessandro Pluchino & Alessio Emanuele Biondo & Andrea Rapisarda, 2020. "The Origins Of Extreme Wealth Inequality In The Talent Versus Luck Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-17, March.

    Cited by:

    1. Zappalà, Chiara & Biondo, Alessio Emanuele & Pluchino, Alessandro & Rapisarda, Andrea, 2023. "The paradox of talent: How chance affects success in tennis tournaments," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
    2. Biondo, A.E. & Pluchino, A. & Zanola, R., 2024. "Simulating the emergence of superstar firms: The role of luck vs talent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 644(C).

  7. da Gama Batista, João & Massaro, Domenico & Bouchaud, Jean-Philippe & Challet, Damien & Hommes, Cars, 2017. "Do investors trade too much? A laboratory experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 18-34.
    See citations under working paper version above.
  8. Damien Challet, 2017. "Sharper asset ranking from total drawdown durations," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(1), pages 1-22, January.
    See citations under working paper version above.
  9. Mehdi Lallouache & Damien Challet, 2016. "The limits of statistical significance of Hawkes processes fitted to financial data," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 1-11, January.
    See citations under working paper version above.
  10. João Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2015. "Sudden trust collapse in networked societies," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(3), pages 1-11, March.
    See citations under working paper version above.
  11. David S. Br�e & Damien Challet & Pier Paolo Peirano, 2013. "Prediction accuracy and sloppiness of log-periodic functions," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 275-280, January.
    See citations under working paper version above.
  12. P. Peirano & D. Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(8), pages 1-12, August.
    See citations under working paper version above.
  13. Damien Challet, 2011. "The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(3), pages 189-205.
    See citations under working paper version above.
  14. G. Mosetti & D. Challet & S. Solomon, 2009. "Structure-preserving desynchronization of minority games," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(4), pages 573-577, October.

    Cited by:

    1. Anindya S. Chakrabarti & Diptesh Ghosh, 2019. "Emergence of anti-coordination through reinforcement learning in generalized minority games," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 225-245, June.

  15. Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009. "The universal shape of economic recession and recovery after a shock," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-24.
    See citations under working paper version above.
  16. Challet, Damien, 2008. "Inter-pattern speculation: Beyond minority, majority and $-games," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.
    See citations under working paper version above.
  17. L. Lü & M. Medo & Y. Zhang & D. Challet, 2008. "Emergence of product differentiation from consumer heterogeneity and asymmetric information," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 64(2), pages 293-300, July.
    See citations under working paper version above.
  18. Challet, Damien, 2007. "The demise of constant price impact functions and single-time step models of speculation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 29-35.
    See citations under working paper version above.
  19. Thierry Bochud & Damien Challet, 2007. "Optimal approximations of power laws with exponentials: application to volatility models with long memory," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 585-589.

    Cited by:

    1. Damien Challet & Vincent Ragel, 2023. "Recurrent Neural Networks with more flexible memory: better predictions than rough volatility," Papers 2308.08550, arXiv.org.
    2. Léo Parent, 2022. "The EWMA Heston model," Post-Print hal-04431111, HAL.
    3. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
    4. Jean-Philippe Bouchaud, 2024. "The Self-Organized Criticality Paradigm in Economics & Finance," Papers 2407.10284, arXiv.org, revised Sep 2024.
    5. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.

  20. Mosetti, Giancarlo & Challet, Damien & Zhang, Yi-Cheng, 2006. "Minority games with heterogeneous timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 365(2), pages 529-542.

    Cited by:

    1. Lustosa, Bernardo C. & Cajueiro, Daniel O., 2010. "Constrained information minority game: How was the night at El Farol?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1230-1238.
    2. Mello, Bernardo A. & Cajueiro, Daniel O., 2008. "Minority games, diversity, cooperativity and the concept of intelligence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 557-566.
    3. Marcus Cordi & Damien Challet & Serge Kassibrakis, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Post-Print hal-01966419, HAL.
    4. Wen-Juan Xu & Chen-Yang Zhong & Fei Ren & Tian Qiu & Rong-Da Chen & Yun-Xin He & Li-Xin Zhong, 2020. "Evolutionary dynamics in financial markets with heterogeneities in strategies and risk tolerance," Papers 2010.08962, arXiv.org.

  21. Damien Challet, 2006. "Coolen, A.C.C.: The Mathematical Theory of Minority Games. Statistical Mechanics of Interacting Agents," Journal of Economics, Springer, vol. 88(3), pages 311-314, September.

    Cited by:

    1. P. Papadopoulos & A. C. C. Coolen, 2008. "Market response to external events and interventions in spherical minority games," Papers 0805.0746, arXiv.org.
    2. Hardik Rajpal & Deepak Dhar, 2018. "Achieving Perfect Coordination amongst Agents in the Co-Action Minority Game," Games, MDPI, vol. 9(2), pages 1-13, May.

  22. Damien Challet & Tobias Galla, 2005. "Price return autocorrelation and predictability in agent-based models of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 569-576.
    See citations under working paper version above.
  23. Challet, Damien & Marsili, M & Ottino, Gabriele, 2004. "Shedding light on El Farol," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 469-482.
    See citations under working paper version above.
  24. Challet, Damien, 2004. "Minority mechanisms in models of agents learning collectively a resource level," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 24-29.

    Cited by:

    1. Challet, Damien, 2008. "Inter-pattern speculation: Beyond minority, majority and $-games," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.

  25. Challet, Damien & Marsili, Matteo & De Martino, Andrea, 2004. "Stylized facts in minority games with memory: a new challenge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(1), pages 143-150.

    Cited by:

    1. Ted Theodosopoulos, 2004. "Uncertainty relations in models of market microstructure," Papers math/0409076, arXiv.org, revised Feb 2005.
    2. Kyrylo Shmatov & Mikhail Smirnov, 2005. "On Some Processes and Distributions in a Collective Model of Investors' Behavior," Papers nlin/0506015, arXiv.org.
    3. Theodosopoulos, Ted & Yuen, Ming, 2007. "Properties of the wealth process in a market microstructure model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(2), pages 443-452.
    4. Theodosopoulos, Ted, 2005. "Uncertainty relations in models of market microstructure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 209-216.
    5. Ling-Yun He, 2010. "Is Price Behavior Scaling and Multiscaling in a Dealer Market? Perspectives from Multi-Agent Based Experiments," Computational Economics, Springer;Society for Computational Economics, vol. 36(3), pages 263-282, October.
    6. Ted Theodosopoulos & Ming Yuen, 2005. "Properties of the wealth process in a market microstructure model," Papers math/0502105, arXiv.org, revised Feb 2005.

  26. Challet, Damien & Stinchcombe, Robin, 2003. "Limit order market analysis and modelling: on a universal cause for over-diffusive prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 141-145.
    See citations under working paper version above.
  27. Damien Challet & Robin Stinchcombe, 2003. "Non-constant rates and over-diffusive prices in a simple model of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 155-162.

    Cited by:

    1. Frank McGroarty & Ash Booth & Enrico Gerding & V. L. Raju Chinthalapati, 2019. "High frequency trading strategies, market fragility and price spikes: an agent based model perspective," Annals of Operations Research, Springer, vol. 282(1), pages 217-244, November.
    2. Roberto Mota Navarro & Hern'an Larralde Ridaura, 2016. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," Papers 1601.00229, arXiv.org, revised Jul 2016.
    3. Szabolcs Mike & J. Doyne Farmer, 2007. "An empirical behavioral model of liquidity and volatility," Papers 0709.0159, arXiv.org.
    4. Frédéric Abergel & Aymen Jedidi, 2013. "A Mathematical Approach to Order Book Modelling," Post-Print hal-00621253, HAL.
    5. Ichiki, Shingo & Nishinari, Katsuhiro, 2015. "Simple stochastic order-book model of swarm behavior in continuous double auction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 304-314.
    6. Alberto Ciacci & Takumi Sueshige & Hideki Takayasu & Kim Christensen & Misako Takayasu, 2020. "The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-19, June.
    7. Maskawa, Jun-ichi, 2007. "Stock price fluctuations and the mimetic behaviors of traders," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 172-178.
    8. Maskawa, Jun-ichi, 2007. "Correlation of coming limit price with order book in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 90-95.
    9. Shingo Ichiki & Katsuhiro Nishinari, 2014. "Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction," Papers 1411.2215, arXiv.org.
    10. Roberto Mota Navarro & Hernán Larralde, 2017. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-27, February.
    11. Johann Lussange & Stefano Vrizzi & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin, 2022. "Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model," Post-Print hal-03827363, HAL.
    12. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
    13. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
    14. Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive 0307332, Science & Finance, Capital Fund Management.

  28. Willmann, R.D & Schütz, G.M & Challet, D, 2002. "Exact Hurst exponent and crossover behavior in a limit order market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 430-440.
    See citations under working paper version above.
  29. D. Challet & A. Chessa & M. Marsili & Y-C. Zhang, 2001. "From Minority Games to real markets," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 168-176.
    See citations under working paper version above.
  30. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2001. "Minority games and stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 228-233.
    See citations under working paper version above.
  31. Matteo Marsili & Damien Challet, 2001. "Trading Behavior And Excess Volatility In Toy Markets," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 3-17.
    See citations under working paper version above.
  32. Challet, Damien & Stinchcombe, Robin, 2001. "Analyzing and modeling 1+1d markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(1), pages 285-299.
    See citations under working paper version above.
  33. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2001. "Stylized facts of financial markets and market crashes in Minority Games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 294(3), pages 514-524.
    See citations under working paper version above.
  34. Marsili, Matteo & Challet, Damien & Zecchina, Riccardo, 2000. "Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 522-553.

    Cited by:

    1. Willemien Kets, 2007. "The minority game: An economics perspective," Papers 0706.4432, arXiv.org.
    2. Kets, W., 2008. "Networks and learning in game theory," Other publications TiSEM 7713fce1-3131-498c-8c6f-3, Tilburg University, School of Economics and Management.
    3. Wawrzyniak, Karol & Wiślicki, Wojciech, 2012. "Mesoscopic approach to minority games in herd regime," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2056-2082.
    4. Paolo Laureti & Peter Ruch & Joseph Wakeling & Yi-Cheng Zhang, 2004. "The Interactive Minority Game: a Web based investigation of human market interactions," Experimental 0402004, University Library of Munich, Germany.
    5. Liu, Jinzhuo & Meng, Haoran & Wang, Wei & Li, Tong & Yu, Yong, 2018. "Synergy punishment promotes cooperation in spatial public good game," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 214-218.
    6. Semeshenko, Viktoriya & Gordon, Mirta B. & Nadal, Jean-Pierre, 2008. "Collective states in social systems with interacting learning agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(19), pages 4903-4916.
    7. Groot, Robert D. & Musters, Pieter A.D., 2005. "Minority Game of price promotions in fast moving consumer goods markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 533-547.

  35. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2000. "Modeling market mechanism with minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(1), pages 284-315.
    See citations under working paper version above.
  36. Challet, Damien & Zhang, Yi-Cheng, 1998. "On the minority game: Analytical and numerical studies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(3), pages 514-532.

    Cited by:

    1. J{o}rgen Vitting Andersen & Andrzej Nowak, 2020. "Symmetry and financial Markets," Papers 2007.08475, arXiv.org.
    2. Helbing, Dirk & Kern, Daniel, 2000. "Non-equilibrium price theories," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(1), pages 259-268.
    3. Willemien Kets, 2007. "The minority game: An economics perspective," Papers 0706.4432, arXiv.org.
    4. Zhang, Yu-Xia & Liang, Wen-Yao & Liu, Xue-Mei, 2014. "Changes of behavior tendency in the evolutionary minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 227-232.
    5. Giorgio Fagiolo & Marco Valente, 2005. "Minority Games, Local Interactions, and Endogenous Networks," Computational Economics, Springer;Society for Computational Economics, vol. 25(1), pages 41-57, February.
    6. Jørgen Vitting Andersen, 2014. "From Minority Games to $-Games," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00971373, HAL.
    7. Giovanna Devetag & Francesca Pancotto & Thomas Brenner, 2011. "The Minority Game Unpacked: Coordination and Competition in a Team-based Experiment," LEM Papers Series 2011/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    8. J{o}rgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Papers 2005.02337, arXiv.org.
    9. Yang Wang & Binghong Wang, 2015. "Evolution of Cooperation on Spatial Network with Limited Resource," PLOS ONE, Public Library of Science, vol. 10(8), pages 1-9, August.
    10. Yang, Cheng & Sun, Shixin, 2007. "The minority game with incomplete strategies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(2), pages 645-653.
    11. Vee-Liem Saw & Lock Yue Chew, 2020. "No-boarding buses: Synchronisation for efficiency," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-34, March.
    12. Cross, Rod & Grinfeld, Michael & Lamba, Harbir & Seaman, Tim, 2005. "A threshold model of investor psychology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 463-478.
    13. Giulio Bottazzi & Giovanna Devetag, 2002. "Coordination and self-organization in minority games: experimental evidence," CEEL Working Papers 0215, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia.
    14. Kets, W., 2008. "Networks and learning in game theory," Other publications TiSEM 7713fce1-3131-498c-8c6f-3, Tilburg University, School of Economics and Management.
    15. Wawrzyniak, Karol & Wiślicki, Wojciech, 2012. "Mesoscopic approach to minority games in herd regime," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2056-2082.
    16. Lucas Fievet & Didier Sornette, 2018. "Calibrating emergent phenomena in stock markets with agent based models," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-17, March.
    17. Yi-Fang Liu & Jørgen Vitting Andersen & Philippe de Peretti, 2016. "Onset of financial instability studied via agent-based models," Post-Print hal-01397400, HAL.
    18. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
    19. Thorsten Chmura & Thomas Pitz, 2007. "An Extended Reinforcement Algorithm for Estimation of Human Behaviour in Experimental Congestion Games," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 10(2), pages 1-1.
    20. Linde, Jona & Gietl, Daniel & Sonnemans, Joep & Tuinstra, Jan, 2023. "The effect of quantity and quality of information in strategy tournaments," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 305-323.
    21. Matteo Marsili & Damien Challet, 2001. "Trading Behavior And Excess Volatility In Toy Markets," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 3-17.
    22. Roland Rothenstein, 2018. "Quantification of market efficiency based on informational-entropy," Papers 1812.02371, arXiv.org.
    23. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: II. Agent-based models," Post-Print hal-00621059, HAL.
    24. Jørgen Vitting Andersen, 2014. "From Minority Games to $-Games," Working Papers halshs-00971373, HAL.
    25. Gao, Yan & Li, Honggang, 2011. "A consolidated model of self-fulfilling expectations and self-destroying expectations in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 77(3), pages 368-381, March.
    26. Karol Wawrzyniak & Wojciech Wi'slicki, 2013. "Grand canonical minority game as a sign predictor," Papers 1309.3399, arXiv.org.
    27. Dindo, P.D.E. & Tuinstra, J., 2010. "A class of evolutionary model for participation games with negative feedback," CeNDEF Working Papers 10-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    28. Roberto Savona & Maxence Soumare & Jørgen Vitting Andersen, 2015. "Financial Symmetry and Moods in the Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215755, HAL.
    29. Liu, Yi-Fang & Andersen, Jørgen Vitting & Frolov, Maxime & de Peretti, Philippe, 2021. "Synchronization in human decision-making," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
    30. Andersen, Jørgen Vitting & de Peretti, Philippe, 2021. "Heuristics in experiments with infinitely large strategy spaces," Journal of Business Research, Elsevier, vol. 129(C), pages 612-620.
    31. Chen, Fang & Gou, Chengling & Guo, Xiaoqian & Gao, Jieping, 2008. "Prediction of stock markets by the evolutionary mix-game model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3594-3604.
    32. Jørgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Post-Print hal-02435934, HAL.
    33. Xin, C. & Yang, G. & Huang, J.P., 2017. "Ising game: Nonequilibrium steady states of resource-allocation systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 666-673.
    34. Płatkowski, Tadeusz & Ramsza, Michał, 2003. "Playing minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 726-734.
    35. Takashi Yamada & Nobuyuki Hanaki, 2015. "An Experiment on Lowest Unique Integer Games," GREDEG Working Papers 2015-34, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    36. Schweitzer, Frank & Zimmermann, Jörg & Mühlenbein, Heinz, 2002. "Coordination of decisions in a spatial agent model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 303(1), pages 189-216.
    37. Chmura, Thorsten & Pitz, Thomas, 2004. "Minority Game: Experiments and Simulations of Traffic Scenarios," Bonn Econ Discussion Papers 23/2004, University of Bonn, Bonn Graduate School of Economics (BGSE).
    38. Roberto Savona & Maxence Soumare & Jørgen Vitting Andersen, 2014. "Financial Symmetry and Moods in the Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00983008, HAL.
    39. Ferreira, Fernando F & Francisco, Gerson & Machado, Birajara S & Muruganandam, Paulsamy, 2003. "Time series analysis for minority game simulations of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 321(3), pages 619-632.
    40. Linde, Jona & Sonnemans, Joep & Tuinstra, Jan, 2014. "Strategies and evolution in the minority game: A multi-round strategy experiment," Games and Economic Behavior, Elsevier, vol. 86(C), pages 77-95.
    41. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
    42. Hung, Chia-Hsiang & Liaw, Sy-Sang, 2007. "Effective history length of the minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 129-137.
    43. Crepaldi, Antonio F. & Neto, Camilo Rodrigues & Ferreira, Fernando F. & Francisco, Gerson, 2009. "Multifractal regime transition in a modified minority game model," Chaos, Solitons & Fractals, Elsevier, vol. 42(3), pages 1364-1371.
    44. Epstein, Daniel & Bazzan, Ana L.C., 2013. "The value of less connected agents in Boolean networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5387-5398.
    45. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
    46. Pietro Dindo & Jan Tuinstra, 2006. "A Behavioral Model for Participation Games with Negative Feedback," Tinbergen Institute Discussion Papers 06-073/1, Tinbergen Institute.
    47. Giulio Bottazzi & Giovanna Devetag, 1999. "Probabilistic learning and emergent coordination in a non-cooperative game with heterogeneous agents: An exploration of minority game dynamics," ROCK Working Papers 007, Department of Computer and Management Sciences, University of Trento, Italy, revised 12 Jun 2008.
    48. Bottazzi, Giulio & Devetag, Giovanna, 2003. "A laboratory experiment on the minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 124-132.
    49. Marsili, Matteo & Challet, Damien & Zecchina, Riccardo, 2000. "Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 522-553.
    50. Araújo, Tanya & Weisbuch, Gérard, 2008. "The labour market on the hypercube," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1301-1310.
    51. Jørgen Vitting Andersen, 2005. "Could Short Selling Make Financial Markets Tumble?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 509-521.
    52. Andreas Krause, 2009. "Evaluating the performance of adapting trading strategies with different memory lengths," Papers 0901.0447, arXiv.org.
    53. Acosta, Gabriel & Caridi, Inés & Guala, Sebastián & Marenco, Javier, 2012. "The Full Strategy Minority Game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 217-230.
    54. Giovanna Devetag & Francesca Pancotto & Thomas Brenner, 2014. "The minority game unpacked:," Journal of Evolutionary Economics, Springer, vol. 24(4), pages 761-797, September.
    55. Wen-Juan Xu & Chen-Yang Zhong & Fei Ren & Tian Qiu & Rong-Da Chen & Yun-Xin He & Li-Xin Zhong, 2020. "Evolutionary dynamics in financial markets with heterogeneities in strategies and risk tolerance," Papers 2010.08962, arXiv.org.
    56. Park, Daehyeon & Ryu, Doojin & Webb, Robert I., 2024. "Fear of missing out and market stability: A networked minority game approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 634(C).
    57. Jørgen Vitting Andersen & Philippe de Peretti, 2020. "Heuristics in experiments with infinitely large strategy spaces," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02435934, HAL.
    58. Acosta, Gabriel & Caridi, Inés & Guala, Sebastián & Marenco, Javier, 2013. "The quasi-periodicity of the minority game revisited," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4450-4465.
    59. Liaw, Sy-Sang & Liu, Ching, 2005. "The quasi-periodic time sequence of the population in minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 351(2), pages 571-579.
    60. Trushin, Eshref & Ugur, Mehmet, 2018. "Ecosystem complexity, firm learning and survival: UK evidence on intra-industry age and size diversity as exit hazards," Greenwich Papers in Political Economy 19095, University of Greenwich, Greenwich Political Economy Research Centre.
    61. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.
    62. Chmura, T. & Pitz, T., 2006. "Successful strategies in repeated minority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 477-480.
    63. Ferreira, Fernando F. & Marsili, Matteo, 2005. "Real payoffs and virtual trading in agent based market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(3), pages 657-675.

  37. Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.

    Cited by:

    1. Rothenstein, R & Pawelzik, K, 2003. "Evolution and anti-evolution in a minimal stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 326(3), pages 534-543.
    2. Chen, Yunong & Belmonte, Andrew & Griffin, Christopher, 2021. "Imitation of success leads to cost of living mediated fairness in the Ultimatum Game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    3. Zhong, Guang-Yan & Li, Hai-Feng & Li, Jiang-Cheng & Mei, Dong-Cheng & Tang, Nian-Sheng & Long, Chao, 2019. "Coherence and anti-coherence resonance of corporation finance," Chaos, Solitons & Fractals, Elsevier, vol. 118(C), pages 376-385.
    4. Cherkashin, Dmitriy & Farmer, J. Doyne & Lloyd, Seth, 2009. "The reality game," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1091-1105, May.
      • Dmitriy Cherkashin & J. Doyne Farmer & Seth Lloyd, 2009. "The Reality Game," Papers 0902.0100, arXiv.org, revised Feb 2009.
    5. J{o}rgen Vitting Andersen & Andrzej Nowak, 2020. "Symmetry and financial Markets," Papers 2007.08475, arXiv.org.
    6. Boldea Bogdan Ion & Boldea Costin-Radu & Stanculescu Mircea, 2009. "An Adaptative Evolutionary Model Of Financial Investors," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 4(1), pages 897-901, May.
    7. Kristoufek, Ladislav & Vošvrda, Miloslav S., 2016. "Herding, minority game, market clearing and efficient markets in a simple spin model framework," FinMaP-Working Papers 68, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    8. Takero Ibuki & Jun-ichi Inoue, 2011. "Response of double-auction markets to instantaneous Selling–Buying signals with stochastic Bid–Ask spread," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(2), pages 93-120, November.
    9. Anindya S. Chakrabarti & Diptesh Ghosh, 2019. "Emergence of anti-coordination through reinforcement learning in generalized minority games," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 225-245, June.
    10. J. Wiesinger & D. Sornette & J. Satinover, 2013. "Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 41(4), pages 475-492, April.
    11. Zapart, Christopher A., 2009. "On entropy, financial markets and minority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1157-1172.
    12. Tatsuya Iwase & Yukihiro Tadokoro & Daisuke Fukuda, 2017. "Self-Fulfilling Signal of an Endogenous State in Network Congestion Games," Networks and Spatial Economics, Springer, vol. 17(3), pages 889-909, September.
    13. Willemien Kets, 2007. "The minority game: An economics perspective," Papers 0706.4432, arXiv.org.
    14. Jørgen Vitting Andersen & Philippe de Peretti, 2018. "New method to detect convergence in simple multi-period market games with infinite large strategy spaces," Post-Print halshs-01960900, HAL.
    15. Jørgen Vitting Andersen & Philippe de Peretti, 2017. "New method to detect convergence in simple multi-period market games," Documents de travail du Centre d'Economie de la Sorbonne 17058, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    16. Zhang, Yu-Xia & Liang, Wen-Yao & Liu, Xue-Mei, 2014. "Changes of behavior tendency in the evolutionary minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 227-232.
    17. Liu, Ching & Liaw, Sy-Sang, 2006. "Maximize personal gain in the minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 516-524.
    18. Giorgio Fagiolo & Marco Valente, 2005. "Minority Games, Local Interactions, and Endogenous Networks," Computational Economics, Springer;Society for Computational Economics, vol. 25(1), pages 41-57, February.
    19. Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
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Books

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    Cited by:

    1. Anindya S. Chakrabarti & Diptesh Ghosh, 2019. "Emergence of anti-coordination through reinforcement learning in generalized minority games," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 225-245, June.
    2. Willemien Kets, 2007. "The minority game: An economics perspective," Papers 0706.4432, arXiv.org.
    3. Jørgen Vitting Andersen, 2014. "From Minority Games to $-Games," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00971373, HAL.
    4. Tercieux, O.R.C. & Voorneveld, M., 2005. "The Cutting Power of Preparation," Other publications TiSEM 75173341-627f-4eb2-91f1-0, Tilburg University, School of Economics and Management.
    5. Matteo Ortisi & Valerio Zuccolo, 2012. "From Minority Game to Black & Scholes pricing," Papers 1205.2521, arXiv.org, revised May 2013.
    6. Kets, W. & Voorneveld, M., 2007. "Congestion, Equilibrium and Learning : The Minority Game," Other publications TiSEM 49539a1f-2921-4dd9-83a0-4, Tilburg University, School of Economics and Management.
    7. Kets, W., 2008. "Networks and learning in game theory," Other publications TiSEM 7713fce1-3131-498c-8c6f-3, Tilburg University, School of Economics and Management.
    8. Amaral, Marco A. & Oliveira, Marcelo M. de & Javarone, Marco A., 2021. "An epidemiological model with voluntary quarantine strategies governed by evolutionary game dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
    9. Robert Savit & Maria Riolo & Rick Riolo, 2013. "Co-Adaptation and the Emergence of Structure," PLOS ONE, Public Library of Science, vol. 8(9), pages 1-9, September.
    10. Linde, Jona & Gietl, Daniel & Sonnemans, Joep & Tuinstra, Jan, 2023. "The effect of quantity and quality of information in strategy tournaments," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 305-323.
    11. Xu, C. & Gu, G.-Q. & Hui, P.M., 2024. "Impacts of an expert’s opinion on the collective performance of a competing population for limited resources," Chaos, Solitons & Fractals, Elsevier, vol. 183(C).
    12. Pierre Blanc & Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Quadratic Hawkes processes for financial prices," Papers 1509.07710, arXiv.org.
    13. Yuriy Mishchenko, 2014. "Oscillations in Rational Economies," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-6, February.
    14. Vikram Krishnamurthy & Sujay Bhatt, 2015. "Sequential Detection of Market shocks using Risk-averse Agent Based Models," Papers 1511.01965, arXiv.org.
    15. Jørgen Vitting Andersen, 2014. "From Minority Games to $-Games," Working Papers halshs-00971373, HAL.
    16. Syed Qasim Shah & Izlin Ismail & Aidial Rizal bin Shahrin, 2020. "Heterogeneous investors and deterioration of market integrity: an analysis of market manipulation cases," Journal of Financial Crime, Emerald Group Publishing Limited, vol. 30(2), pages 389-403, May.
    17. Xin-Jie Zhang & Yong Tang & Jason Xiong & Wei-Jia Wang & Yi-Cheng Zhang, 2018. "Dynamics of Cooperation in Minority Games in Alliance Networks," Sustainability, MDPI, vol. 10(12), pages 1-17, December.
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    20. Kiran Sharma & Parul Khurana, 2021. "Growth and dynamics of Econophysics: a bibliometric and network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 126(5), pages 4417-4436, May.
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    23. Wenzhi Zheng & Yuting Lou & Yu Chen, 2019. "On the Unsustainable Macroeconomy with Increasing Inequality of Firms Induced by Excessive Liquidity," Sustainability, MDPI, vol. 11(11), pages 1-22, May.
    24. Kiran Sharma & Anamika & Anindya S. Chakrabarti & Anirban Chakraborti & Sujoy Chakravarty, 2017. "The Saga of KPR: Theoretical and Experimental developments," Papers 1712.06358, arXiv.org.
    25. T. Clemson & T. S. Evans, 2011. "The Emergence of Leadership in Social Networks," Papers 1106.0296, arXiv.org, revised Nov 2011.
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    27. Jean Philippe Bouchaud & Matteo Marsili & Jean-Pierre Nadal, 2023. "Application of spin glass ideas in social sciences, economics and finance," Post-Print hal-04145594, HAL.
    28. Benjamin Patrick Evans & Mikhail Prokopenko, 2021. "Bounded rationality for relaxing best response and mutual consistency: The Quantal Hierarchy model of decision-making," Papers 2106.15844, arXiv.org, revised Mar 2023.
    29. Magda Roszczynska-Kurasinska & Andrzej Nowak & Daniel Kamieniarz & Sorin Solomon & Jørgen Vitting Andersen, 2012. "Short and Long Term Investor Synchronization Caused by Decoupling," Post-Print hal-00853991, HAL.
    30. Jovanovic, Franck & Mantegna, Rosario N. & Schinckus, Christophe, 2019. "When financial economics influences physics: The role of Econophysics," International Review of Financial Analysis, Elsevier, vol. 65(C).
    31. Majewski, Adam A. & Ciliberti, Stefano & Bouchaud, Jean-Philippe, 2020. "Co-existence of trend and value in financial markets: Estimating an extended Chiarella model," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    32. Nian, Fuzhong & Liu, Xinghao & Diao, Hongyuan, 2022. "Mechanism of investor behavior propagation in stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
    33. Karol Wawrzyniak & Wojciech Wislicki, 2009. "Phenomenology of minority games in efficient regime," Papers 0907.3231, arXiv.org, revised Mar 2011.
    34. Medo, Matúš & Zhang, Yi-Cheng, 2008. "Market model with heterogeneous buyers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2889-2908.
    35. Semeshenko, Viktoriya & Gordon, Mirta B. & Nadal, Jean-Pierre, 2008. "Collective states in social systems with interacting learning agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(19), pages 4903-4916.
    36. Xavier Gabaix, 2009. "Power Laws in Economics and Finance," Annual Review of Economics, Annual Reviews, vol. 1(1), pages 255-294, May.
    37. Mukherjee, I. & Chatterjee, Soumya & Giri, A. & Barat, P., 2017. "Understanding the pattern of the BSE Sensex," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 262-275.
    38. Vincent Ragel & Damien Challet, 2024. "Data time travel and consistent market making: taming reinforcement learning in multi-agent systems with anonymous data," Papers 2408.02322, arXiv.org.
    39. Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers 12/08, Department of Economics, City University London.
    40. S. Agarwal & D. Ghosh & A. S. Chakrabarti, 2016. "Self-organization in a distributed coordination game through heuristic rules," Papers 1608.00213, arXiv.org.
    41. Benjamin Patrick Evans & Mikhail Prokopenko, 2024. "Bounded rationality for relaxing best response and mutual consistency: the quantal hierarchy model of decision making," Theory and Decision, Springer, vol. 96(1), pages 71-111, February.
    42. Marsili, Matteo & Raffaelli, Giacomo, 2006. "Risk bubbles and market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 18-22.
    43. Magda Roszczynska-Kurasinska & Andrzej Nowak & Daniel Kamieniarz & Sorin Solomon & Jørgen Vitting Andersen, 2012. "Short and Long Term Investor Synchronization Caused by Decoupling," PLOS ONE, Public Library of Science, vol. 7(12), pages 1-8, December.
    44. Ghosh, Diptesh & Chakrabarti, Anindya S., 2017. "Emergence of distributed coordination in the Kolkata Paise Restaurant problem with finite information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 16-24.
    45. Karol Wawrzyniak & Wojciech Wislicki, 2008. "Multi-market minority game: breaking the symmetry of choice," Papers 0809.3978, arXiv.org, revised Jun 2009.
    46. A. C. C. Coolen, 2004. "Generating functional analysis of Minority Games with real market histories," Papers cond-mat/0410335, arXiv.org.
    47. Qiming Lu & G. Korniss & Boleslaw Szymanski, 2009. "The Naming Game in social networks: community formation and consensus engineering," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(2), pages 221-235, November.
    48. Jean-Philippe Bouchaud, 2024. "The Self-Organized Criticality Paradigm in Economics & Finance," Papers 2407.10284, arXiv.org, revised Sep 2024.
    49. Shu-Heng Chen & Sai-Ping Li, 2011. "Econophysics: Bridges over a Turbulent Current," Papers 1107.5373, arXiv.org.
    50. Tercieux, O.R.C. & Voorneveld, M., 2005. "The Cutting Power of Preparation," Discussion Paper 2005-94, Tilburg University, Center for Economic Research.
    51. Linyuan Lü & M. Medo & Y.-C. Zhang, 2009. "The role of a matchmaker in buyer-vendor interactions," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(4), pages 565-571, October.
    52. P. Papadopoulos & A. C. C. Coolen, 2008. "Market response to external events and interventions in spherical minority games," Papers 0805.0746, arXiv.org.
    53. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009. "A Computational View of Market Efficiency," Papers 0908.4580, arXiv.org.
    54. Fabio Caccioli & Tiziana Di Matteo & Giulia Iori & Saqib Jafarey & Giacomo Livan & Simone Righi, 2022. "Introduction to the special issue on the 24th annual Workshop on Economic science with Heterogeneous Interacting Agents, London, 2019 (WEHIA 2019)," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 401-404, April.
    55. Adam Majewski & Stefano Ciliberti & Jean-Philippe Bouchaud, 2018. "Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model," Papers 1807.11751, arXiv.org.
    56. J. B. Satinover & D. Sornette, 2009. "Illusory versus genuine control in agent-based games," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 67(3), pages 357-367, February.
    57. Abhijit Kar Gupta, 2010. "Punctuated Equilibrium and Power Law in Economic Dynamics," Papers 1012.5896, arXiv.org.
    58. Tobias Galla & Giancarlo Mosetti & Yi-Cheng Zhang, 2006. "Anomalous fluctuations in Minority Games and related multi-agent models of financial markets," Papers physics/0608091, arXiv.org.
    59. Jean-Philippe Bouchaud & Matteo Marsili & Jean-Pierre Nadal, 2023. "Application of spin glass ideas in social sciences, economics and finance," Papers 2306.16165, arXiv.org.

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