Stylized facts in minority games with memory: a new challenge

A finite memory is introduced in the score dynamics of Minority Games. As expected, this removes the dependence of the stationary state on the initial conditions. However, it also causes an unexpected increase of fluctuations in grand-canonical models for very large times. Current analytical methods are inadequate to solve this simple and natural extension.

MoreLess

Year of publication:	2004
Authors:	Challet, Damien ; Marsili, Matteo ; De Martino, Andrea
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 338.2004, 1, p. 143-150
Publisher:	Elsevier
Subject:	Minority Game \| Financial markets \| Finite memory \| Volatility clustering \| Fat tails \| Price return

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010589344