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

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Author Info
Damien Challet (Oxford University)

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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.

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File URL: http://129.3.20.41/eps/fin/papers/0503/0503006.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0503006.

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Length: 6 pages
Date of creation: 09 Mar 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0503006

Note: Type of Document - pdf; pages: 6
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Web page: http://129.3.20.41

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Related research
Keywords: Financial market; agent-based modelling; minority game; majority game; $-game; information; market efficiency;

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G - Financial Economics

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  1. 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. [Downloadable!]
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