Minority and majority games in financial markets

被引：1

作者：

Kim, Kyungsik

Yoon, Seong-Min

Kim, Soo Yong

Takayasu, Hideki

机构：

[1] Pukyong Natl Univ, Dept Phys, Pusan 608737, South Korea

[2] Pukyong Natl Univ, Div Econ, Pusan 608737, South Korea

[3] Korea Adv Inst Sci & Technol, Dept Phys, Taejon 305701, South Korea

[4] Sony Comp Sci Labs, Shinagawa Ku, Tokyo 1410022, Japan

来源：

FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY | 2007年 / 15卷 / 01期

关键词：

minority and majority games; standard deviation; won-dollar and yen-dollar exchange rates;

D O I：

10.1142/S0218348X07003393

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We study the game theory from tick data of the won-dollar and yen-dollar exchange rates in financial markets. The standard deviation, the global efficiency, and the autocorrelation for arbitrary strategies are shown to give rise to properties of new dynamics, and these statistical quantities are very similar with the case of the majority game. Our results presented will be compared with numerical findings for other game models.

引用

页码：97 / 100

页数：4

共 50 条

[1] Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms
J. Wiesinger
D. Sornette
J. Satinover
[J]. Computational Economics, 2013, 41 : 475 - 492
[2] Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms
Wiesinger, J.
Sornette, D.
Satinover, J.
[J]. COMPUTATIONAL ECONOMICS, 2013, 41 (04) : 475 - 492
[3] On entropy, financial markets and minority games
Zapart, Christopher A.
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2009, 388 (07) : 1157 - 1172
[4] Minority games: Interacting agents in financial markets
Horst, Ulrich
[J]. QUANTITATIVE FINANCE, 2007, 7 (01) : 17 - 18
[5] Minority games - Interacting agents in financial markets
Anderson, JA
[J]. ECONOMIC RECORD, 2005, 81 (255) : 444 - 445
[6] Minority games: Interacting agents in financial markets.
Reimann, S
[J]. JOURNAL OF ECONOMICS, 2006, 87 (02) : 204 - 207
[7] The cavity method for minority games between arbitrageurs on financial markets
Ritmeester, Tim
Meyer-Ortmanns, Hildegard
[J]. JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, 2022, 2022 (04):
[8] Stylized facts of financial markets and market crashes in Minority Games
Challet, D
Marsili, M
Zhang, YC
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2001, 294 (3-4) : 514 - 524
[9] Market mechanism and expectations in minority and majority games
Marsili, M
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2001, 299 (1-2) : 93 - 103
[10] Majority-vote model for financial markets
Vilela, Andre L. M.
Wang, Chao
Nelson, Kenric P.
Stanley, H. Eugene
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 515 : 762 - 770

← 1 2 3 4 5 →