Generalized minority games with adaptive trend-followers and contrarians
Disordered Systems and Neural Networks
2009-11-10 v1 Trading and Market Microstructure
Abstract
We introduce a simple extension of the minority game in which the market rewards contrarian (resp. trend-following) strategies when it is far from (resp. close to) efficiency. The model displays a smooth crossover from a regime where contrarians dominate to one where trend-followers dominate. In the intermediate phase, the stationary state is characterized by non-Gaussian features as well as by the formation of sustained trends and bubbles.
Cite
@article{arxiv.cond-mat/0403649,
title = {Generalized minority games with adaptive trend-followers and contrarians},
author = {A. De Martino and I. Giardina and M. Marsili and A. Tedeschi},
journal= {arXiv preprint arXiv:cond-mat/0403649},
year = {2009}
}
Comments
4 pages, 6 figures