Abstract
PurposeThe purpose of this paper is to analyse a standard grand canonical minority game (MG).Design/methodology/approachAgents 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.FindingsWhen 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/valueThe 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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
