Inter-pattern speculation: Beyond minority, majority and $-games

Authored by Damien Challet

Date Published: 2008-01

DOI: 10.1016/j.jede.2007.01.022

Sponsors: Wadham College

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

Abstract

A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open, hold and close their positions explicitly. Information ecology is strikingly similar to that of the minority game which suggest to reinterpret the latter as a model of synchronisation of predictability exploitation. Naive and sophisticated agents are shown to give rise to very different phenomenology. (C) 2007 Elsevier B.V. All rights reserved.

Tags

Agent-based modelling Speculation minority game Efficiency