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• W4301657671 abstract "We introduce a minimal agent based model for financial markets to understand the nature and self-organization of the stylized facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the most important deviations of price time series from a random walk behavior. We focus on four essential ingredients: fundamentalist agents which tend to stabilize the market; chartist agents which induce destabilization; analysis of price behavior for the two strategies; herding behavior which governs the possibility of changing strategy. Bubbles and crashes correspond to situations dominated by chartists, while fundamentalists provide a long time stability (on average). The stylized facts are shown to correspond to an intermittent behavior which occurs only for a finite value of the number of agents N. Therefore they correspond to finite size effects which, however, can occur at different time scales. We propose a new mechanism for the self-organization of this state which is linked to the existence of a threshold for the agents to be active or not active. The feedback between price fluctuations and number of active agents represents a crucial element for this state of self-organized intermittency. The model can be easily generalized to consider more realistic variants." @default.
• W4301657671 created "2022-10-05" @default.
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• W4301657671 date "2009-01-27" @default.
• W4301657671 modified "2023-10-02" @default.
• W4301657671 title "Minimal agent based model for financial markets I" @default.
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• W4301657671 doi "https://doi.org/10.1140/epjb/e2009-00028-4" @default.
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