Stylized facts in minority games with memory: a new challenge
arXiv:cond-mat/0401628 · doi:10.1016/j.physa.2004.02.036
Abstract
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.
arXiv comment8 pages, 6 figures, contribution to the proceedings of Frontier Science 2003, Pavia (Italy)
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- Stylized facts in minority games with memory: a new challenge
- Uncertainty relations in models of market microstructure
- Coordination, intermittency and trends in generalized Minority Games
- Properties of a renewal process approximation for a spin market model
- Properties of the wealth process in a market microstructure model