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MINORITY AND MAJORITY GAMES IN FINANCIAL MARKETS

KYUNGSIK KIM

Department of Physics, Pukyong National University, 599-1 Daeyeon-dong, Pusan 608-737, Korea

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SEONG-MIN YOON

Division of Economics, Pukyong National University, 599-1 Daeyeon-dong, Pusan 608-737, Korea

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SOO YONG KIM

Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Korea

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, and

HIDEKI TAKAYASU

Sony Computer Science Laboratories, 3-14-13 Higashi-gotanda, Shinagawa-Ku, 141-0022 Tokyo, Japan

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https://doi.org/10.1142/S0218348X07003393Cited by:1 (Source: Crossref)

Abstract

We study the game theory from tick data of the won-dollar and yen-dollar exchange rates in financial markets. The standard deviation, the global efficiency, and the autocorrelation for arbitrary strategies are shown to give rise to properties of new dynamics, and these statistical quantities are very similar with the case of the majority game. Our results presented will be compared with numerical findings for other game models.

Keywords:

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