Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game

TL;DR

This paper introduces a modified Minority Game model to simulate financial market behavior, demonstrating that it reproduces key properties of real financial time series such as volatility clustering, Levy distribution, and multifractality.

Contribution

The paper develops a modified Minority Game model that effectively captures essential statistical and multifractal properties of financial time series.

Findings

Reproduces volatility clustering in simulated data

Shows Levy distribution in generated price series

Demonstrates multifractality in the model outputs

Abstract

In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was implemented in the form of software. The modified version of Minority Game was investigated with the aim of reproducing the basic properties of real financial time series. It was proved that such properties as the clustering of volatility, the Levy distribution and multifractality are inherent for generated by this version of the Minority Game time series of prices.