Time series analysis for minority game simulations of financial markets

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Data

2003-04-15

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Elsevier B.V.

Resumo

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 evolution. 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. (C) 2002 Elsevier B.V. B.V. All rights reserved.

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minority game model, SP500 index, nonlinearity, complexity

Como citar

Physica A-statistical Mechanics and Its Applications. Amsterdam: Elsevier B.V., v. 321, n. 3-4, p. 619-632, 2003.