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Modeling financial markets using mixed minority/majority games
Descriptive
TitleInfo
Title
Modeling financial markets using mixed minority/majority games
Name
(type = personal)
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Savjani
NamePart
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Niki
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Niki Savjani
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author
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NamePart
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Marsic
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Ivan
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Ivan Marsic
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Advisory Committee
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chair
Name
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(type = family)
Gajic
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Zoran
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Zoran Gajic
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Advisory Committee
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internal member
Name
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Spasojevic
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Predrag
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Predrag Spasojevic
Affiliation
Advisory Committee
Role
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internal member
Name
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Rutgers University
Role
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degree grantor
Name
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Graduate School - New Brunswick
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school
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Text
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theses
OriginInfo
DateCreated
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2011
DateOther
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(type = degree)
2011-10
CopyrightDate
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2011
Place
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xx
Language
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(type = code)
eng
Abstract
(type = abstract)
Financial markets are considered to be a system formed due to the interaction between heterogeneous individuals. Many models have tried emulating it and have tried to uncover the working behind it. Minority Game Model is one such model which has tried to emulate it. It is a game consisting of heterogeneous agents who believe that to gain profit one needs to be in the minority. However, it has been proved that the financial market consists of both fundamentalists (i.e. individuals gaining profit by being in the minority) as well as noise traders (individuals gaining profit by following the herd). So, we have used the Mixed Game Model to emulate financial markets which consists of Minority and Majority game players. Although it has been proved that the mixed game model is a suitable model to imitate financial world, we have observed that it still has many limitations like the two groups of agents have same properties and thus they lack in heterogeneity and also that the life of each agent is constant. But in real world, every individual has a unique memory and learning ability and will join and leave the markets as well. To improve on these limitations we have created the model, “Highly Heterogeneous Model” which removes both of these limitations. Also, we show that the new improved game improves the performance of the majority game players by 2.35 % and minority game players by 4.45 %. Apart from this we observed that all the models which have emulated financial market by using Minority Game have concentrated on the combined effect of agents of financial factors like prices, returns and volatilities i.e. they are synchronous. With the availability of high frequency data, its analysis has been continuously gaining importance in recent years. We have thus also studied this behavior of market using the asynchronous form of the game known as the “Asynchronous Mixed Game Model”. We finally also prove that the Highly Heterogeneous Game represents the daily time series and the Asynchronous Mixed Game represents the high frequency time series of real financial world.
Subject
(authority = RUETD)
Topic
Electrical and Computer Engineering
Subject
(authority = ETD-LCSH)
Topic
Capital market
Subject
(authority = ETD-LCSH)
Topic
Finance--Econometric models
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Title
Rutgers University Electronic Theses and Dissertations
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ETD_3573
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electronic resource
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application/pdf
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text/xml
Extent
x, 105 p. : ill.
Note
(type = degree)
M.S.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = statement of responsibility)
by Niki Savjani
Identifier
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http://hdl.rutgers.edu/1782.1/rucore10001600001.ETD.000063591
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Graduate School - New Brunswick Electronic Theses and Dissertations
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rucore19991600001
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NjNbRU
Identifier
(type = doi)
doi:10.7282/T3GQ6WVX
Genre
(authority = ExL-Esploro)
ETD graduate
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Rights
RightsDeclaration
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The author owns the copyright to this work.
RightsHolder
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Name
FamilyName
Savjani
GivenName
Niki
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime
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(qualifier = exact);
(point = start)
2011-09-18 20:02:54
AssociatedEntity
Name
Niki Savjani
Role
Copyright holder
Affiliation
Rutgers University. Graduate School - New Brunswick
AssociatedObject
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License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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