  We introduce a minimal Agent Based Model for financial markets to understand
the nature and Self-Organization of the Stylized Facts. The model is minimal in
the sense that we try to identify the essential ingredients to reproduce the
main most important deviations of price time series from a Random Walk
behavior. We focus on four essential ingredients: fundamentalist agents which
tend to stabilize the market; chartist agents which induce destabilization;
analysis of price behavior for the two strategies; herding behavior which
governs the possibility of changing strategy. Bubbles and crashes correspond to
situations dominated by chartists, while fundamentalists provide a long time
stability (on average). The Stylized Facts are shown to correspond to an
intermittent behavior which occurs only for a finite value of the number of
agents N. Therefore they correspond to finite size effect which, however, can
occur at different time scales. We propose a new mechanism for the
Self-Organization of this state which is linked to the existence of a threshold
for the agents to be active or not active. The feedback between price
fluctuations and number of active agents represent a crucial element for this
state of Self-Organized-Intermittency. The model can be easily generalized to
consider more realistic variants.
