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Type: Journal article
Title: Can a minority game follow real market dynamics?
Author: Bonnet, F.
Abbott, D.
Citation: Fluctuation and Noise Letters (FNL), 2010; 9(1):107-128
Publisher: World Scientific Publishing Co. Pty. Ltd.
Issue Date: 2010
ISSN: 0219-4775
Statement of
Frederic D. R. Bonnet and Derek Abbott
Abstract: It is commonly known in economics that markets follow both positive and/or negative trends, crashes and bubble effects. In general a strong positive trend is followed by a crash. Famous examples of these effects were seen in the recent crash on the NASDAQ (April 2000) and prior to the crash on the Hong Kong market, which was associated with the Asian crisis in the early 1994. In this paper we use real market data input into a minority game with a variable payoff function and a nonlinear super exponential model for bubbles, to explore financial bubbles. By changing the payoff function in the minority game we study how one can get the price function to follow the dynamics of a real market.
Keywords: Minoirity game
agent models
stock market dynamics
Rights: Copyright © 2010 World Scientific Publishing Co. All rights reserved.
DOI: 10.1142/S0219477510000101
Appears in Collections:Aurora harvest 5
Electrical and Electronic Engineering publications

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