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Playing with Minority Games |
Magdalena A. Zaluska-Kotur |
Polish Academy of Sciences, Institute of Physics, al. Lotników 32/46, Warszawa 02-668, Poland |
Abstract |
The Minority Game was proposed as market model in 1997. The model turned out to be so interesting, that still is a subject of intensive investigations. Some of its properties can be analyzed within the framework of statistical mechanics of a disordered system. Dynamical steady states are mapped onto the ground state properties of a spin glass model. An application of the replica method allows finding critical values for control parameters of the Minority Game. On using simple computer simulations, it is easy to show that the critical parameters agree with the calculated ones. We analyze how the observed critical behavior of the system changes when model is modified. We discuss the variation of the model in the context of the exchange rates dynamics on Polish financial markets.
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Presentation: oral at Symposium on Econo- and Sociophysics 2004, by Magdalena A. Zaluska-KoturSee On-line Journal of Symposium on Econo- and Sociophysics 2004 Submitted: 2004-10-13 10:16 Revised: 2009-06-08 12:55 |