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• W1630222016 abstract "We discuss a simple model based on the minority game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic limit. Stylized facts arise only close to a line of critical points with nontrivial properties, marking the transition to an unpredictable market. We show that the emergence of critical fluctuations close to the phase transition is governed by the interplay between the signal to noise ratio and the system size. These results provide a clear and consistent picture of financial markets, where stylized facts and verge of unpredictability are intimately related aspects of the same critical systems." @default.
• W1630222016 created "2016-06-24" @default.
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• W1630222016 creator A5063789606 @default.
• W1630222016 date "2003-09-26" @default.
• W1630222016 modified "2023-10-02" @default.
• W1630222016 title "Criticality and market efficiency in a simple realistic model of the stock market" @default.
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• W1630222016 doi "https://doi.org/10.1103/physreve.68.036132" @default.
• W1630222016 hasPubMedId "https://pubmed.ncbi.nlm.nih.gov/14524857" @default.
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