  Simultaneous reproduction of all financial stylized facts is so difficult
that most existing stochastic process-based and agent-based models are unable
to achieve the goal. In this study, by extending the decision-making structure
of Minority Game, we propose a novel agent-based model called "Speculation
Game," for a better reproducibility of the stylized facts. The new model has
three distinct characteristics comparing with preceding agent-based adaptive
models for the financial market: the enabling of nonuniform holding and idling
periods, the inclusion of magnitude information of price change in history, and
the implementation of a cognitive world for the evaluation of investment
strategies with capital gains and losses. With these features, Speculation Game
succeeds in reproducing 10 out of the currently well studied 11 stylized facts
under a single parameter setting.
