From Minority Game to Black & Scholes pricing
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Irene Giardina & Jean-Philippe Bouchaud & Marc M'ezard, 2001. "Microscopic Models for Long Ranged Volatility Correlations," Papers cond-mat/0105076, arXiv.org.
- 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.
- D. Challet & A. Chessa & M. Marsili & Y. -C. Zhang, 2000. "From Minority Games to real markets," Papers cond-mat/0011042, arXiv.org.
- Irene Giardina & Jean-Philippe Bouchaud & Marc Mezard, 2001. "Microscopic models for long ranged volatility correlations," Science & Finance (CFM) working paper archive 500024, Science & Finance, Capital Fund Management.
- Giardina, Irene & Bouchaud, Jean-Philippe & Mézard, Marc, 2001. "Microscopic models for long ranged volatility correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 28-39.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2013.
"Minority Games: Interacting agents in financial markets,"
OUP Catalogue,
Oxford University Press, number 9780199686698.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2004. "Minority Games: Interacting agents in financial markets," OUP Catalogue, Oxford University Press, number 9780198566403.
- A C C Coolen & J A F Heimel, 2001. "Dynamical Solution of the On-Line Minority Game," Papers cond-mat/0107600, arXiv.org.
- 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.
- 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.
- 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.
- Paul Jefferies & Michael Hart & Neil Johnson & P.M. Hui, 2001. "From market games to real-world markets," OFRC Working Papers Series 2001mf02, Oxford Financial Research Centre.
- P. Jefferies & M.L. Hart & P.M. Hui & N.F. Johnson, 2001. "From market games to real-world markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 20(4), pages 493-501, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Bryce Morsky & Fuwei Zhuang & Zuojun Zhou, 2023. "Social and individual learning in the Minority Game," Papers 2307.11846, arXiv.org, revised Mar 2024.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008.
"Empirical regularities of order placement in the Chinese stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3173-3182.
- Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2007. "Empirical regularities of order placement in the Chinese stock market," Papers 0712.0912, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Mine Caglar, 2011. "Stock Price Processes with Infinite Source Poisson Agents," Papers 1106.6300, arXiv.org.
- 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.
- 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.
- Ren, F. & Zheng, B. & Chen, P., 2010. "Modeling interactions of trading volumes in financial dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2744-2750.
- 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.
- Jun-Jie Chen & Lei Tan & Bo Zheng, 2015. "Agent-based model with multi-level herding for complex financial systems," Papers 1504.01811, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1205.2521. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.