Purpose – The purpose of this paper is to analyse a standard grand canonical minority game (MG). Design/methodology/approach – Agents are divided into two groups: speculators, who trade adaptively, and producers who trade deterministically. Information acts on the amount of the two types in...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...