From Minority Games to $-Games

Jørgen Vitting Andersen (1)

1 CES - Centre d'économie de la Sorbonne

In this chapter we will first argue for the use of game theory/agent-based modeling, to go beyond the standard methods used in traditional approach of Finance. First will be introduced some very general thoughts of elements needed in a new framework for Finance. Then some few concrete examples of heterogeneous agent-based models will be introduced and several of their main results will be discussed. Finally applications and methods to real market data will be introduced, notably the idea of "decoupling" to explain the short-lasting synchronization of investors.

Mots clés: Agent-based modeling; price formation

Domaines: Economies et finances

Jørgen Vitting Andersen. From Minority Games to $-Games. 2014. ⟨halshs-00971373⟩