Ortisi, Matteo; Zuccolo, Valerio - In: Applied Mathematical Finance 20 (2013) 6, pp. 578-598
In this paper, we study the continuum time dynamics of a stock in a market where agents behaviour is modelled by a Minority Game and a Grand Canonical Minority Game. The dynamics derived is a generalized geometric Brownian motion; from the Black&Scholes formula the calibration of both the...