We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combinations of parameters and very little on other ones. The time of singularity that is supposed to give...

Using the minority game model we study a broad spectrum of problems of market mechanism. We study the role of different types of agents: producers, speculators as well as noise traders. The central issue here is the information flow: producers feed in the information whereas speculators make it...

Starting from the Minority Game and building more and more sophisticated models of adaptive agents, we show that minority mechanisms underly any model where agents learn collectively a resource level that can be either obvious and constant in time, obvious and time-varying, or hidden.

A finite memory is introduced in the score dynamics of Minority Games. As expected, this removes the dependence of the stationary state on the initial conditions. However, it also causes an unexpected increase of fluctuations in grand-canonical models for very large times. Current analytical...

We report on a statistical analysis of the Island ECN (NASDAQ) order book. We determine the static and dynamic properties of this system, and then analyze them from a physicist's viewpoint using an equivalent particle system obtained by treating orders as massive particles and price as position....

Minority games where groups of agents remember, react or incorporate information with different timescales are investigated. We support our findings by analytical arguments whenever possible.

Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open–hold–close actions are considered. The solution of the paradox lies in...

We mathematize El Farol bar problem and transform it into a workable model. We find general conditions on the predictor space under which the convergence of the average attendance to the resource level does not require any intelligence on the side of the agents. Secondly, specializing to a...

Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently proposed a powerful and consistent way to build a model describing the time evolution of a financial index. We first make it fully explicit by using Student...