To be or not: feeding information in standard minority games
Abstract
Purpose
The purpose of this paper is to analyse a standard grand canonical minority game (MG).
Design/methodology/approach
Agents are divided into two groups: speculators, who trade adaptively, and producers who trade deterministically. Information acts on the amount of the two types in the system, modifying the share.
Findings
When the system is out of equilibrium, stylized facts arise, such as fat tailed distribution of returns and volatility clustering. If speculators abandon price taking behavior, stylized facts disappear.
Originality/value
The modified MG presented here is able to reproduce qualitatively a whole range of stylized facts. Most importantly, its quite rich behavior can be studied analytically.
Keywords
Citation
Corelli, A. (2012), "To be or not: feeding information in standard minority games", Journal of Risk Finance, Vol. 13 No. 2, pp. 171-178. https://doi.org/10.1108/15265941211203215
Publisher
:Emerald Group Publishing Limited
Copyright © 2012, Emerald Group Publishing Limited