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The minority game is one proposition to explain the behavior of the financial market and of the price time series by using a microscopic model for the behavior of agents. The basic idea is to have agents with a simple behavior and with simple collective interactions, but the set-up is such that a complex collective behavior can be achieved.
The basic model has been introduced by Yi-Cheng Zhang and Damien Challet. The book Challet et al. [2005] summarizes the progresses made with this family of models.
The code for the Monte Carlo simulations and a convenient set of parameters have been kindly provided by Damien Challet. No attempt has been made to optimize the parameters so has to obtain statistics closer to the empirical statistics.
The parameters are as follow:
The simulation time corresponds to 50 years with a time increment δt = 3 minutes for each iteration.
Some statistics for the simulation are as follow.