The $-game

European Physical Journal B

Volumn 31, Issue 1, 2003, Pages 141-145

  Andersen, J Vitting ^a,b   Sornette, D ^b,c  

^a UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

^b UNIVERSITÉ CÔTE D'AZUR   (France)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMPETITION; INTELLIGENT AGENTS; MARKETING; RISK ASSESSMENT; SET THEORY;

MARKET-MAKER; MINORITY GAMES (MG); PAYOFF FUNCTIONS; SPECULATIVE PHASE;

GAME THEORY;

EID: 0242708090     PISSN: 14346028     EISSN: None     Source Type: Journal    
DOI: 10.1140/epjb/e2003-00017-7     Document Type: Article

References (27)

1. For an introduction to the Minority Game see e.g. the papers: D. Challet, Y.-C. Zhang, Physica A 246, 407 (1997);
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5. For more specific applications of the Minority Game to financial markets see e.g. D. Challet et al., Quant. Fin 1, 168 (2001);
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20. A similar conclusion as seen in Figure 1 is found in the absence of constraint on the number of stocks each agent is allowed to hold, that is, when agents are allowed to open a new position at each time step so as to leverage their strategy
21. P. Jefferies et al., Eur. Phys. J. 20, 493 (2001)
22. H. Markovitz, Portfolio selection (John Wiley and Sons, New York, 1959)
23. We do not expect any qualitative difference in the results represented in this paper depending on which of these different mechanisms is implemented, since a "stubborn majority" can manifest itself independent of which of these mechanisms is used
24. N.F. Johnson et al., Physica A 299, 222 (2001);
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27. Notice that because each agent only keep one (long/short) position each time step, they switch between active/inactive states. A somewhat similar switching happens in the Grand Canonical version of the MG [1]. In [11] this switching has been mentioned as a necessary condition to obtain volatility clustering