The cavity method for minority games between arbitrageurs on financial markets

DOI10.1088/1742-5468/ac6030OpenAlexW3213972583MaRDI QIDQ5078668

Hildegard Meyer-Ortmanns, Tim Ritmeester

Publication date: 23 May 2022

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.06663

zbMATH Keywords

nonlinear dynamicsmarket microstructuremarket impact

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• Dynamical solution of the on-line minority game
• Theory of agent-based market models with controlled levels of greed and anxiety
• Statistical mechanics of socio-economic systems with heterogeneous agents
• From Minority Games to real markets
• On a universal mechanism for long-range volatility correlations
• Empirical properties of asset returns: stylized facts and statistical issues
• Statistical Physics of Spin Glasses and Information Processing
• Minority games and stylized facts

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