Advanced Search
MyIDEAS: Login

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

Contents:

Author Info

  • Challet, Damien

Abstract

A new model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction. In this pattern- based speculation model, the traders open and close their positions explicitely. Information ecology can be precisely characterised, and is strikingly similar to that of the Minority Game. Naive and sophisticated agents are shown to give rise to very different phenomenology.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V85-4N9MYFR-4/2/ec663b864b6b4ba9fc35f86b3e88df3c
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 32 (2008)
Issue (Month): 1 (January)
Pages: 85-100

as in new window
Handle: RePEc:eee:dyncon:v:32:y:2008:i:1:p:85-100

Contact details of provider:
Web page: http://www.elsevier.com/locate/jedc

Related research

Keywords:

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
  2. Damien Challet & Tobias Galla, 2004. "Price return auto-correlation and predictability in agent-based models of financial markets," Papers cond-mat/0404264, arXiv.org, revised Dec 2004.
  3. R. Rothenstein & K. Pawelzik, 2002. "Evolution and anti-evolution in a minimal stock market model," Papers nlin/0211010, arXiv.org, revised May 2003.
  4. Rothenstein, R & Pawelzik, K, 2003. "Evolution and anti-evolution in a minimal stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 326(3), pages 534-543.
  5. J. Doyne Farmer, 1999. "Market Force, Ecology, and Evolution," Computing in Economics and Finance 1999 651, Society for Computational Economics.
  6. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Papers cond-mat/0012419, arXiv.org.
  7. Matteo Marsili, 2002. "Dissecting financial markets: Sectors and states," Papers cond-mat/0207156, arXiv.org.
  8. Matteo Marsili, 2002. "Dissecting financial markets: sectors and states," Quantitative Finance, Taylor and Francis Journals, vol. 2(4), pages 297-302.
  9. Yi-Cheng Zhang, 2001. "Why Financial Markets Will Remain Marginally Inefficient?," Papers cond-mat/0105373, arXiv.org.
  10. D. Challet & A. Chessa & M. Marsili & Y-C. Zhang, 2001. "From Minority Games to real markets," Quantitative Finance, Taylor and Francis Journals, vol. 1(1), pages 168-176.
  11. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2000. "Modeling market mechanism with minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(1), pages 284-315.
  12. Challet, Damien, 2004. "Minority mechanisms in models of agents learning collectively a resource level," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 24-29.
  13. repec:fth:louvco:9131 is not listed on IDEAS
  14. Slanina, František & Zhang, Yi-Cheng, 2001. "Dynamical spin-glass-like behavior in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(1), pages 290-300.
  15. Challet, Damien & Marsili, M & Ottino, Gabriele, 2004. "Shedding light on El Farol," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 469-482.
  16. Marsili, Matteo, 2001. "Market mechanism and expectations in minority and majority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 93-103.
  17. Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Takero Ibuki & Jun-ichi Inoue, 2011. "Response of double-auction markets to instantaneous Selling–Buying signals with stochastic Bid–Ask spread," Journal of Economic Interaction and Coordination, Springer, vol. 6(2), pages 93-120, November.
  2. Jean-Philippe Bouchaud, 2011. "Panel Statement: The endogenous dynamics of markets: price impact and feedback loops," Chapters, European Central Bank.
  3. Karol Wawrzyniak & Wojciech Wislicki, 2011. "Mesoscopic approach to minority games in herd regime," Papers 1112.0210, arXiv.org.
  4. Li-Xin Zhong & Wen-Juan Xu & Fei Ren & Yong-Dong Shi, 2012. "Coupled effects of market impact and asymmetric sensitivity in financial markets," Papers 1209.3399, arXiv.org, revised Jan 2013.
  5. Luca Grilli & Angelo Sfrecola, 2005. "Neural Networks to Predict Financial Time Series in a Minority Game Context," Quaderni DSEMS 14-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  6. Ted Theodosopoulos & Ming Yuen, 2006. "Imbalance attractors for a strategic model of market microstructure," Papers math/0605421, arXiv.org.
  7. B. A. Mello & V. M.C.S. Souza & D. O. Cajueiro & R. F.S. Andrade, 2010. "Network evolution based on minority game with herding behavior," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 76(1), pages 147-156, July.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:32:y:2008:i:1:p:85-100

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.