Stylized facts in minority games with memory: a new challenge

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• 作者：Challet ; Damien ; Marsili ; Matteo ; De Martino ; Andrea
• 关键词：02.50.Le ; 89.65.Gh ; Minority Game ; Financial markets ; Finite memory ; Volatility clustering ; Fat tails ; Price return
• 刊名：Physica A
• 出版年：2004
• 期刊代码：138_03784371
• 类别：et
• 出版时间：July 1, 2004
• 卷：338
• 期：1-2
• 页码：143-150
• 文件大小：285 K

摘要

A finite memory is introduced in the score dynamics of Minority Games. As expected, this removes the dependence of the stationary state on the initial conditions. However, it also causes an unexpected increase of fluctuations in grand-canonical models for very large times. Current analytical methods are inadequate to solve this simple and natural extension.