Bubbles in a minority game setting with real financial data

Frédéric D.R. Bonnet; Andrew Allison; Derek Abbott

doi:10.1117/12.673126

5 January 2006 Bubbles in a minority game setting with real financial data

Frédéric D.R. Bonnet, Andrew Allison, Derek Abbott

Proceedings Volume 6039, Complex Systems; 60390C (2006) https://doi.org/10.1117/12.673126
Event: Microelectronics, MEMS, and Nanotechnology, 2005, Brisbane, Australia

Abstract

It is a well observed fact that markets follow both positive and/or negative trends, crashes and bubble effects. In general a strong positive trend is followed by a crash--a famous example of these effects was seen in the recent crash on the NASDAQ (April 2000) and prior to the crash in the Hong Kong market, which was associated with the Asian crisis in the early 1994. In this paper we use real market data coupled into a minority game with different payoff functions to study the dynamics and the location of financial bubbles.

Citation Download Citation

Frédéric D.R. Bonnet, Andrew Allison, and Derek Abbott "Bubbles in a minority game setting with real financial data", Proc. SPIE 6039, Complex Systems, 60390C (5 January 2006); https://doi.org/10.1117/12.673126

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Magnesium

Data modeling

Computer simulations

Binary data

Biomedical engineering

Complex systems

Computer programming

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