Cycles, determinism and persistence in agent-based games and financial time-series. I

DOI10.1080/14697688.2012.670260MaRDI QIDQ2873534zbMATH OpenOpenAlexFDO

Authors J. B. Satinover, D. Sornette

Publication date 24 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.670260

zbMATH Keywords

agent-based modellinganomalies in pricescontrol and optimizationcross disciplinary problemseconophysicsquantitative trading strategies

Mathematics Subject Classification ID

Dynamic games (91A25) Games involving graphs (91A43) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84) Financial applications of other theories (91G80)

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• scientific article; zbMATH DE number 2118872

Cites work

• Illusion of control in time-horizon minority and Parrondo games
• Applications of Hilbert–Huang transform to non‐stationary financial time series analysis
• Dynamics of the time horizon minority game
• Periodic orbit theory in classical and quantum mechanics
• Wavelet methods in (financial) time-series processing

Cited in

(6)

• Time series analysis for minority game simulations of financial markets
• Cycles, determinism and persistence in agent-based games and financial time-series. II
• Decision trees unearth return sign predictability in the S\&P 500
• Application of multi-agent games to the prediction of financial time series
• On the preservation of deterministic cycles when some agents perceive them to be random fluctuations
• Illusion of control in time-horizon minority and Parrondo games

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