Citing this article

A standard form of citation of this article is:

Gou, Chengling (2006). 'The Simulation of Financial Markets by Agent-Based Mix-Game Models'. Journal of Artificial Societies and Social Simulation 9(3)6 <http://jasss.soc.surrey.ac.uk/9/3/6.html>.

The following can be copied and pasted into a Bibtex bibliography file, for use with the LaTeX text processor:

@article{gou2006,
title = {The Simulation of Financial Markets by Agent-Based Mix-Game Models},
author = {Gou, Chengling},
journal = {Journal of Artificial Societies and Social Simulation},
ISSN = {1460-7425},
volume = {9},
number = {3},
pages = {6},
year = {2006},
URL = {http://jasss.soc.surrey.ac.uk/9/3/6.html},
keywords = {Financial Markets, Simulation, Minority Game, Mix-Game},
abstract = {This paper studies the simulation of financial markets using an agent-based mix-game model which is a variant of the minority game (MG). It specifies the spectra of parameters of mix-game models that fit financial markets by investigating the dynamic behaviors of mix-game models under a wide range of parameters. The main findings are (a) in order to approach efficiency, agents in a real financial market must be heterogeneous, boundedly rational and subject to asymmetric information; (b) an active financial market must be dominated by agents who play a minority game; otherwise, the market would die; (c) the system could be stable if agents who play a majority game have a faster learning rate than those who play a minority game; otherwise, the system could be unstable. The paper then induces the rules for simulating financial markets with mix-game models and gives an example. Finally, the appendix of this paper presents background information about 'El Farol bar', MG and mix-games.},
}

The following can be copied and pasted into a text file, which can then be imported into a reference database that supports imports using the RIS format, such as Reference Manager and EndNote.


TY - JOUR
TI - The Simulation of Financial Markets by Agent-Based Mix-Game Models
AU - Gou, Chengling
Y1 - 2006/06/30
JO - Journal of Artificial Societies and Social Simulation
SN - 1460-7425
VL - 9
IS - 3
SP - 6
UR - http://jasss.soc.surrey.ac.uk/9/3/6.html
KW - Financial Markets
KW - Simulation
KW - Minority Game
KW - Mix-Game
N2 - This paper studies the simulation of financial markets using an agent-based mix-game model which is a variant of the minority game (MG). It specifies the spectra of parameters of mix-game models that fit financial markets by investigating the dynamic behaviors of mix-game models under a wide range of parameters. The main findings are (a) in order to approach efficiency, agents in a real financial market must be heterogeneous, boundedly rational and subject to asymmetric information; (b) an active financial market must be dominated by agents who play a minority game; otherwise, the market would die; (c) the system could be stable if agents who play a majority game have a faster learning rate than those who play a minority game; otherwise, the system could be unstable. The paper then induces the rules for simulating financial markets with mix-game models and gives an example. Finally, the appendix of this paper presents background information about 'El Farol bar', MG and mix-games.
ER -