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Volumn 365, Issue 2, 2006, Pages 529-542

Minority games with heterogeneous timescales

Author keywords

Competition; Exact results; Financial markets; Minority game; Timescales

Indexed keywords

FINANCE; INFORMATION ANALYSIS; MARKETING; STATISTICAL MECHANICS;

EID: 33646117730     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.09.069     Document Type: Article
Times cited : (14)

References (27)
  • 1
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    • R. Olsen, et al., Technical Report RBO.1992-09-07, Olsen & Associates, 1992.
  • 2
    • 33646091898 scopus 로고    scopus 로고
    • L. Borland, J.-P. Bouchaud, 2005, preprint physics/0507073.
  • 3
    • 0346895492 scopus 로고    scopus 로고
    • P. Lynch, G. Zumbach, Quant. Fin. 3 (2003) 320.
  • 4
    • 0036644754 scopus 로고    scopus 로고
    • cond-mat/0202479
    • Marsili M., and Piai M. Physica A 310 (2002) 234 cond-mat/0202479
    • (2002) Physica A , vol.310 , pp. 234
    • Marsili, M.1    Piai, M.2
  • 8
    • 33646115094 scopus 로고    scopus 로고
    • D.S.T. Galla, Physica A 324 (2003) 25.
  • 10
    • 84856405956 scopus 로고    scopus 로고
    • D. Challet, A.D. Martino, M. Marsili, I. Peréz-Castillo (2004), cond-mat/0407595.
  • 17
    • 33646085936 scopus 로고    scopus 로고
    • This is the origin of predictability in the MG [16].
  • 24
    • 0242383125 scopus 로고    scopus 로고
    • I. Giardina, J.-P. Bouchaud, Eur. Phys. J. B 31 (2003) 421 cond-mat/0206222.
  • 25
    • 33646077594 scopus 로고    scopus 로고
    • Ref. [22] proceeded the other way around by making value investors with heterogeneous expectations on the fair value playing a delayed majority game [23,24] and noticing that the fluctuations look like those produced by minority players; this was shown analytically in Ref. [21].
  • 26
    • 33646114672 scopus 로고    scopus 로고
    • N.G. van Kampen, Stochastic Processes in Physics and Chemistry, North-Holland, 1992, pp. 211 (Chapter 8).
  • 27
    • 33646086639 scopus 로고    scopus 로고
    • We provide however a Mathematica file at www.maths.ox.ac.uk/ ∼challet.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.