Inter-pattern speculation: beyond minority, majority and $-games
Physics and Society
2007-05-23 v3 Disordered Systems and Neural Networks
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 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
Keywords
Cite
@article{arxiv.physics/0502140,
title = {Inter-pattern speculation: beyond minority, majority and $-games},
author = {Damien Challet},
journal= {arXiv preprint arXiv:physics/0502140},
year = {2007}
}
Comments
31 pages, 7 figures. Final version, even clearer and better. New figure of information ecology