Inter-pattern speculation: beyond minority, majority and \$-games

DOI10.1016/J.JEDC.2007.01.022zbMATH Open1181.91078arXivphysics/0502140OpenAlexW2238865395MaRDI QIDQ844569FDOQ844569

Damien Challet

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

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 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

Full work available at URL: https://arxiv.org/abs/physics/0502140

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zbMATH Keywords

efficiencyagent-based modelingspeculationminority game

Mathematics Subject Classification ID

Applications of game theory (91A80) Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)

Cites Work

• Title not available (Why is that?)
• A Rational Route to Randomness
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• Dissecting financial markets: sectors and states
• From Minority Games to real markets
• On a universal mechanism for long-range volatility correlations
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• Evolution and anti-evolution in a minimal stock market model
• Dynamical spin-glass-like behavior in an evolutionary game
• Price return autocorrelation and predictability in agent-based models of financial markets

Cited In (4)

• Heterogeneous round-trip trading and the emergence of volatility clustering in speculation game
• Development of an agent-based speculation game for higher reproducibility of financial stylized facts
• An Extended Speculation Game for the Recovery of Hurst Exponent of Financial Time Series
• Stylized facts of financial markets and market crashes in Minority Games

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