Parrondo Strategies for Artificial Traders
Computational Engineering, Finance, and Science
2007-05-23 v1
Abstract
On markets with receding prices, artificial noise traders may consider alternatives to buy-and-hold. By simulating variations of the Parrondo strategy, using real data from the Swedish stock market, we produce first indications of a buy-low-sell-random Parrondo variation outperforming buy-and-hold. Subject to our assumptions, buy-low-sell-random also outperforms the traditional value and trend investor strategies. We measure the success of the Parrondo variations not only through their performance compared to other kinds of strategies, but also relative to varying levels of perfect information, received through messages within a multi-agent system of artificial traders.
Cite
@article{arxiv.cs/0204051,
title = {Parrondo Strategies for Artificial Traders},
author = {Magnus Boman and Stefan Johansson and David Lyback},
journal= {arXiv preprint arXiv:cs/0204051},
year = {2007}
}
Comments
10 pages, 4 figures