Price return autocorrelation and predictability in agent-based models of financial markets

DOI10.1080/14697680500363963MaRDI QIDQ3375401zbMATH OpenOpenAlexFDO

Authors Tobias Galla, Damien Challet

Publication date 8 March 2006

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0404264

Mathematics Subject Classification ID

Applications of game theory (91A80) Auctions, bargaining, bidding and selling, and other market models (91B26)

Abstract: We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use minority games to illustrate that a vanishing price return auto-correlation function does not necessarily imply market efficiency. On the contrary, we stress the difference between correlations measured conditionally and unconditionally on external patterns.

Recommendations

• Colored minority games
• Minority games and stylized facts
• From minority games to real markets
• Simple agent-based dynamical system models for efficient financial markets: theory and examples
• Stylized facts of financial markets and market crashes in Minority Games

Cites work

• Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness
• Dynamical solution of the on-line minority game.
• Dynamical spin-glass-like behavior in an evolutionary game
• Elements for a theory of financial risks
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Market mechanism and expectations in minority and majority games
• Statistical mechanics of the majority game
• Statistical mechanics of the mixed majority–minority game with random external information
• Stylized facts of financial markets and market crashes in Minority Games
• TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS

Cited in

(1)

• Inter-pattern speculation: beyond minority, majority and \$-games

This page was built for publication: Price return autocorrelation and predictability in agent-based models of financial markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3375401)