0 20 62 22 v 2 5 J ul 2 00 2 BUBBLES , CRASHES AND INTERMITTENCY IN AGENT BASED MARKET MODELS

@inproceedings{Giardina2002026,
  title={0 20 62 22 v 2 5 J ul 2 00 2 BUBBLES , CRASHES AND INTERMITTENCY IN AGENT BASED MARKET MODELS},
  author={Irene Giardina and Jean-Philippe Bouchaud},
  year={2002}
}
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the possibility of not participating to the market. The price is updated according to the excess demand, and the wealth of the agents is properly accounted for. Only two parameters play a significant role: one describes the impact of trading on the price, and the other… CONTINUE READING
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