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- W3123076871 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." @default.
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- W3123076871 date "2002-10-01" @default.
- W3123076871 modified "2023-10-02" @default.
- W3123076871 title "Time series analysis for minority game simulations of financial markets" @default.
- W3123076871 hasPublicationYear "2002" @default.
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