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

DOI10.1080/14697688.2012.670261zbMATH Open1279.91201arXiv0805.0428OpenAlexW4251814901MaRDI QIDQ2873535FDOQ2873535

Authors: J. B. Satinover, D. Sornette 

Publication date: 24 January 2014

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

Abstract: The Minority Game (MG), the Majority Game (MAJG) and the Dollar Game ($G)areimportantandclosely-relatedversionsofmarket-entrygamesdesignedtomodeldifferentfeaturesofreal-worldfinancialmarkets.Inavariantofthesegames,agentsmeasuretheperformanceoftheiravailablestrategiesoverafixed-lengthrollingwindowofpriortime-steps.Thesearetheso-calledTimeHorizonMG/MAJG/$G (THMG, THMAJG, TH$$G (i.e., genuine control) may be understood on a cycle-by-cycle basis. The decomposition offers as well a new metric for comparing different game dynamics to real-world financial time-series and a method for generating predictors. We apply the cycle predictor a real-world market, with significantly positive returns for the latter.

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

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zbMATH Keywords

econophysicsagent-based modellingquantitative trading strategiescontrol and optimizationanomalies in pricescross disciplinary problems

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (5)

• 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
• Cycles, determinism and persistence in agent-based games and financial time-series. I
• Application of multi-agent games to the prediction of financial time series
• Decision trees unearth return sign predictability in the S\&P 500

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