Minority game (and other extensions) is the formalized study of the El Farol Bar problem. It was proposed by various researchers that the dynamics under such games resembles the financial market. This is a list (with some sparse comments) of literature that are related to this topic:
Martino et al, 2003, "Statistical mechanics of the mixed majority-minority game with random external information"
Namatame and Sato, "Localized minority games and emergence of efficient dynamic order"
Satinover and Sornette, 2007, "'Illusion of control' in time-horizon minority and Parrondo games"
Wiesinger et al, 2010, "Reverse engineering financial markets with majority and minority games using Genetic Algorithms"
Cherkashin et al, 2009, "The reality game"
This framework is particularly interesting because it allows for feedback. The size of the bets placed by the players would change the odds of winning.
Vitting Andersen and Sornette, 2002, "The $-game"
They introduce the $-Game, and explain why it (instead of the Minority Game) is a better model for the financial market.
Yeung et al, 2008, "Models of financial markets with extensive participation incentives"
They introduce the Wealth Game, and define the temperature of the grand canonical ensemble. More interestingly, they connect this theoretical framework to the real market by calibrating the model to market data, thus identifying where we are on the "phase diagram."
De Martino et al, "From perceived risk to collective behavior in minority games"
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