Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978909 | Physica A: Statistical Mechanics and its Applications | 2010 | 9 Pages |
Abstract
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 â¼0.5853. 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Edward W. Piotrowski, Jan SÅadkowski, Jacek Syska,