eprintid: 1877
rev_number: 6
eprint_status: archive
userid: 6
dir: disk0/00/00/18/77
datestamp: 2013-11-06 12:10:36
lastmod: 2013-11-20 09:03:02
status_changed: 2013-11-06 12:10:36
type: article
metadata_visibility: show
creators_name: Challet, Damien
creators_name: Chessa, Alessandro
creators_name: Marsili, Matteo
creators_name: Zhang, Yi-Cheng 
creators_id: 
creators_id: alessandro.chessa@imtlucca.it
creators_id: 
creators_id: 
title: From Minority Games to real markets
ispublished: pub
subjects: QC
divisions: EIC
full_text_status: none
abstract:  We address the question of market efficiency using the Minority Game (MG) model. First we show that removing unrealistic features of the MG leads to models which reproduce a scaling behaviour close to what is observed in real markets. In particular we find that (i) fat tails and clustered volatility arise at the phase transition point and that (ii) the crossover to random walk behaviour of prices is a finite-size effect. This, on one hand, suggests that markets operate close to criticality, where the market is marginally efficient. On the other it allows one to measure the distance from criticality of real markets, using cross-over times. The artificial market described by the MG is then studied as an ecosystem with different species of traders. This clarifies the nature of the interaction and the particular role played by the various populations. 
date: 2001
date_type: published
publication: Quantitative Finance
volume: 1
number: 1
publisher: Taylor & Francis
pagerange: 168-176
id_number: 10.1080/713665543
refereed: TRUE
issn: 1469-7696
official_url: http://www.tandfonline.com/doi/abs/10.1080/713665543
related_url_url: http://arxiv.org/abs/cond-mat/0011042
citation:   Challet, Damien and Chessa, Alessandro and Marsili, Matteo and Zhang, Yi-Cheng   From Minority Games to real markets.  Quantitative Finance, 1 (1).  pp. 168-176.  ISSN 1469-7696      (2001)