dorsal/arxiv
View SchemaAnomalous fluctuations in Minority Games and related multi-agent models of financial markets
| Authors | Tobias Galla, Giancarlo Mosetti, Yi-Cheng Zhang |
|---|---|
| Categories | |
| ArXiv ID | physics/0608091 |
| URL | https://arxiv.org/abs/physics/0608091 |
Abstract
We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are currently used to model financial markets. One of the most prominent examples is here the Minority Game (MG), which we address in some more detail. After a brief discussion of its basic setup and general phenomenology we summarise the main findings of the statistical mechanics analysis and discuss the emergence of stylised facts in extensions of the MG near their phase transitions between efficient and predictable regimes. We then turn towards more realistic variants which comprise heterogeneous populations of agents, with different memory capabilities, different inclinations to trade and varying expectations on the future evolution of the market. Finally we give a short outlook on potential future work in this area.
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"abstract": "We review the recent approaches to modelling financial markets based on\nmulti-agent systems. After a brief summary of the basic stylised facts observed\nin real-market time-series we discuss some simple agent-based systems which are\ncurrently used to model financial markets. One of the most prominent examples\nis here the Minority Game (MG), which we address in some more detail. After a\nbrief discussion of its basic setup and general phenomenology we summarise the\nmain findings of the statistical mechanics analysis and discuss the emergence\nof stylised facts in extensions of the MG near their phase transitions between\nefficient and predictable regimes. We then turn towards more realistic variants\nwhich comprise heterogeneous populations of agents, with different memory\ncapabilities, different inclinations to trade and varying expectations on the\nfuture evolution of the market. Finally we give a short outlook on potential\nfuture work in this area.",
"arxiv_id": "physics/0608091",
"authors": [
"Tobias Galla",
"Giancarlo Mosetti",
"Yi-Cheng Zhang"
],
"categories": [
"physics.soc-ph",
"cond-mat.dis-nn",
"cond-mat.stat-mech",
"q-fin.TR"
],
"title": "Anomalous fluctuations in Minority Games and related multi-agent models of financial markets",
"url": "https://arxiv.org/abs/physics/0608091"
},
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