Over the past ten years physicists have made a significant contribution to the building of an agent-based model to reproduce the behavior of financial markets using computer simulation. This model, called the Minority Game, consists of a group of agents that buy or sell assets. They make decisions based on strategies, and through them the agents establish an intricate game of competition and coordination resulting in the distribution of wealth. The model has shown outstanding surprising results concerning both the dynamics of the system and the ability to reproduce statistical and behavior characteristics of the financial market. In this study, the structure and dynamics of the Minority Game and the recent contributions related to the Grand Canonical Minority game, a model which is better adapted to the characteristics of the financial market and reproduce the statistical regularities of asset prices (called stylized facts) are presented.
Modeling. Simulation; Game theory; Quantitative methods
