dorsal/arxiv
View SchemaTime series analysis for minority game simulations of financial markets
| Authors | Fernando F. Ferreira, Gerson Francisco, Birajara S. Machado, Paulsamy Muruganandam |
|---|---|
| Categories | |
| ArXiv ID | physics/0203038 |
| URL | https://arxiv.org/abs/physics/0203038 |
| DOI | 10.1016/S0378-4371(02)01733-8 |
| Journal | Physica A 321 (2003) 619-632 |
Abstract
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolut ion. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary.
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"abstract": "The minority game (MG) model introduced recently provides promising insights\ninto the understanding of the evolution of prices, indices and rates in the\nfinancial markets. In this paper we perform a time series analysis of the model\nemploying tools from statistics, dynamical systems theory and stochastic\nprocesses. Using benchmark systems and a financial index for comparison,\nseveral conclusions are obtained about the generating mechanism for this kind\nof evolut ion. The motion is deterministic, driven by occasional random\nexternal perturbation. When the interval between two successive perturbations\nis sufficiently large, one can find low dimensional chaos in this regime.\nHowever, the full motion of the MG model is found to be similar to that of the\nfirst differences of the SP500 index: stochastic, nonlinear and (unit root)\nstationary.",
"arxiv_id": "physics/0203038",
"authors": [
"Fernando F. Ferreira",
"Gerson Francisco",
"Birajara S. Machado",
"Paulsamy Muruganandam"
],
"categories": [
"physics.data-an",
"nlin.CD",
"q-fin.TR"
],
"doi": "10.1016/S0378-4371(02)01733-8",
"journal_ref": "Physica A 321 (2003) 619-632",
"title": "Time series analysis for minority game simulations of financial markets",
"url": "https://arxiv.org/abs/physics/0203038"
},
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