Time series analysis for minority game simulations of financial markets

DOI10.1016/S0378-4371(02)01733-8zbMATH Open1011.91037arXivphysics/0203038OpenAlexW2159338194MaRDI QIDQ1867889FDOQ1867889

Authors: Gerson Francisco, Birajara S. Machado, Paulsamy Muruganandam, F. F. Ferreira 

Publication date: 2 April 2003

Published in: Physica A (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/physics/0203038

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zbMATH Keywords

statisticsstochastic processesdynamical systems theory

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Applications of game theory (91A80) Stochastic models in economics (91B70)

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Cited In (9)

• Chaotic dynamics in brain activity: an approach based on cross-prediction errors for nonstationary signals
• Complexity analysis of the turbulent environmental fluid flow time series
• Cycles, determinism and persistence in agent-based games and financial time-series. I
• Cycles, determinism and persistence in agent-based games and financial time-series. II
• Title not available (Why is that?)
• Dynamics characterization of modified Gross-Pitaevskii equation
• Time series analysis for minority game simulations of financial markets
• RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME.
• Detailed study of a moving average trading rule

Uses Software

• TISEAN

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