Stylized facts in minority games with memory: A new challenge

Physica A: Statistical Mechanics and its Applications

Volumn 338, Issue 1-2 SPEC. ISS., 2004, Pages 143-150

  Challet, Damien ^a   Marsili, Matteo ^b   De Martino, Andrea ^c  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b ABDUS SALAM INTERNATIONAL CENTRE FOR THEORETICAL PHYSICS   (Italy)

^c UNIVERSITÀ DI ROMA LA SAPIENZA   (Italy)

Author keywords

Fat tails; Financial markets; Finite memory; Minority Game; Price return; Volatility clustering

Indexed keywords

DECISION MAKING; ECONOMIC AND SOCIAL EFFECTS; FORECASTING; MATHEMATICAL MODELS; PHASE TRANSITIONS; SET THEORY; STRATEGIC PLANNING;

FAT TAILS; FINANCIAL MARKETS; FINITE MEMORY; MINORITY GAMES; PRICE RETURN; VOLATILITY CLUSTERING;

FINANCE;

EID: 2942627789     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.02.036     Document Type: Conference Paper

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