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Stylized facts of financial markets and market crashes in Minority Games · Study

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ArticleStylized facts of financial markets and market crashes in Minority Games

Damien Challet2001

OA

Articlegreen2001

Stylized facts of financial markets and market crashes in Minority Games

Damien Challet · Matteo Marsili A · Yi‐Cheng Zhang

162 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1999Introduction to Econophysics 1999Scaling and criticality in a stochastic multi-agent model of a financial market 1997Emergence of cooperation and organization in an evolutionary game 1998A Langevin approach to stock market fluctuations and crashes 1999Adaptive Competition, Market Efficiency, and Phase Transitions 2000Economic fluctuations and anomalous diffusion 2000Statistical Mechanics of Systems with Heterogeneous Agents: Minority Games 1999Toward a theory of marginally efficient markets

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2001Price fluctuations from the order book perspective—empirical facts and a simple model 2006Multi-agent-based Order Book Model of financial markets 2009Emergence of long memory in stock volatility from a modified Mike-Farmer model 2001Market mechanism and expectations in minority and majority games 2005Application of multifractal measures to Tehran price index

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Details

Year2001

Typearticle

Published2001-05-01

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations162

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0378-4371(01)00103-0

openalex_workW3099545960

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