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Detecting the traders’ strategies in minority–majority games and real stock-prices

Author

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  • Alfi, V.
  • De Martino, A.
  • Pietronero, L.
  • Tedeschi, A.

Abstract

Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority–majority model and indeed it is capable of reconstructing the prevailing traders’ strategies in a given time interval. Then we also analyze real (NYSE) stock-prices dynamics and it is possible to derive an indication for the “sentiment” of the market for time intervals of at least one day.

Suggested Citation

  • Alfi, V. & De Martino, A. & Pietronero, L. & Tedeschi, A., 2007. "Detecting the traders’ strategies in minority–majority games and real stock-prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 1-8.
    • Handle: RePEc:eee:phsmap:v:382:y:2007:i:1:p:1-8
    DOI: 10.1016/j.physa.2007.02.081
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    References listed on IDEAS

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    1. V. Alfi & F. Coccetti & M. Marotta & L. Pietronero & M. Takayasu, 2006. "Hidden Forces and Fluctuations from Moving Averages: A Test Study," Papers physics/0601089, arXiv.org.
    2. Misako Takayasu & Takayuki Mizuno & Hideki Takayasu, 2005. "Potentials of Unbalanced Complex Kinetics Observed in Market Time Series," Papers physics/0509020, arXiv.org.
    3. 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.
    4. V. Alfi & F. Coccetti & A. Petri & L. Pietronero, 2006. "Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations," Papers physics/0602052, arXiv.org.
    5. Alfi, V. & Coccetti, F. & Marotta, M. & Pietronero, L. & Takayasu, M., 2006. "Hidden forces and fluctuations from moving averages: A test study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 30-37.
    6. 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.
    7. Bouchaud,Jean-Philippe & Potters,Marc, 2003. "Theory of Financial Risk and Derivative Pricing," Cambridge Books, Cambridge University Press, number 9780521819169, September.
    8. A. De Martino & I. Giardina & M. Marsili & A. Tedeschi, 2004. "Generalized minority games with adaptive trend-followers and contrarians," Papers cond-mat/0403649, arXiv.org.
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    Citations

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    Cited by:

    1. Alessio Emanuele Biondo, 2020. "Information versus imitation in a real-time agent-based model of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 613-631, July.
    2. Alessio Emanuele Biondo, 2018. "Order book microstructure and policies for financial stability," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 35(1), pages 196-218, March.
    3. Biondo, Alessio Emanuele, 2017. "Learning to forecast, risk aversion, and microstructural aspects of financial stability," Economics Discussion Papers 2017-104, Kiel Institute for the World Economy (IfW Kiel).
    4. Li-Xin Zhong & Wen-Juan Xu & Ping Huang & Chen-Yang Zhong & Tian Qiu, 2013. "Self-organization and phase transition in financial markets with multiple choices," Papers 1312.0690, arXiv.org, revised Jun 2014.
    5. 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.
    6. Zhong, Li-Xin & Xu, Wen-Juan & Ren, Fei & Shi, Yong-Dong, 2013. "Coupled effects of market impact and asymmetric sensitivity in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2139-2149.
    7. V. Alfi & L. Pietronero & A. Zaccaria, 2008. "Minimal Agent Based Model For The Origin And Self-Organization Of Stylized Facts In Financial Markets," Papers 0807.1888, arXiv.org.
    8. Wen-Juan Xu & Chen-Yang Zhong & Fei Ren & Tian Qiu & Rong-Da Chen & Yun-Xin He & Li-Xin Zhong, 2020. "Evolutionary dynamics in financial markets with heterogeneities in strategies and risk tolerance," Papers 2010.08962, arXiv.org.

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