From Minority Games to real markets

@article{Challet2000FromMG,
  title={From Minority Games to real markets},
  author={Damien Challet and Alessandro Chessa and Matteo Marsili and Yicheng Zhang},
  journal={Quantitative Finance},
  year={2000},
  volume={1},
  pages={168 - 176}
}
We address the question of market efficiency using the Minority Game (MG) model. First we show that removing unrealistic features of the MG leads to models which reproduce a scaling behaviour close to what is observed in real markets. In particular we find that (i) fat tails and clustered volatility arise at the phase transition point and that (ii) the crossover to random walk behaviour of prices is a finite-size effect. This, on one hand, suggests that markets operate close to criticality… 
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See the Minority Game's web page on
The learning process is similar to the one described in