Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game

Details Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game

2010-08-23

arxiv.org/abs/1008.3840v1

Physics

Physics and Society

18 pages, 10 figures

Scientific paper

In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was implemented in the form of software. The modified version of Minority Game was investigated with the aim of reproducing the basic properties of real financial time series. It was proved that such properties as the clustering of volatility, the Levy distribution and multifractality are inherent for generated by this version of the Minority Game time series of prices.

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