Cycles, determinism and persistence in agent-based games and financial time-series: part II

DOI10.1080/14697688.2012.670261zbMath1279.91201arXiv0805.0428OpenAlexW4251814901MaRDI QIDQ2873535

J. B. Satinover, Didier Sornette

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.0428

zbMATH Keywords

agent-based modellingeconophysicsquantitative trading strategiescontrol and optimizationanomalies in pricescross disciplinary problems

Mathematics Subject Classification ID

Economic time series analysis (91B84) Games involving graphs (91A43) Graphs and linear algebra (matrices, eigenvalues, etc.) (05C50) Financial applications of other theories (91G80)

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Cites Work

• Illusion of control in time-horizon minority and Parrondo games
• Markov chains in Banach spaces on cycles
• Orthogonal cycle transforms of stochastic matrices
• Dynamics of the time horizon minority game
• Properties of a simple bilinear stochastic model: Estimation and predictability
• On the weak convergence of sequences of circuit processes: a probabilistic approach
• Antipersistent binary time series
• Application of multi-agent games to the prediction of financial time series

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