کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
978909 933309 2010 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Subjective modelling of supply and demand-the minimum of Fisher information solution
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Subjective modelling of supply and demand-the minimum of Fisher information solution
چکیده انگلیسی
Two of the present authors have put forward a projective geometry based model of rational trading that implies a model for subjective demand/supply profiles if one considers closing of a position as a random process. We would like to present the analysis of a subjectivity in such trading models. In our model, the trader gets the maximal profit intensity when the probability of transaction is ∼0.5853. We also present a comparison with the model based on the Maximum of Entropy Principle. To the best of our knowledge, this is one of the first analyses that show a concrete situation in which trader profit optimal value is in the class of price-negotiating algorithms (strategies) resulting in non-monotonic demand (supply) curves of the Rest of the World (a collective opponent). Our model suggests that there might be a new class of rational trader strategies that (almost) neglects the supply-demand profile of the market. This class emerges when one tries to minimize the information that strategies reveal.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 389, Issue 21, 1 November 2010, Pages 4904-4912
نویسندگان
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