Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099556 | Journal of Economic Dynamics and Control | 2008 | 16 Pages |
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, hold 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Damien Challet,