Trader dynamics in a model market
凝聚态物理
2007-05-23 v1
摘要
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time horizons' when making predictions based on historical data. The resulting average winnings per trader is a highly non-linear function of the population's composition. Second, we introduce a threshold confidence level among traders below which they will not trade. This can give rise to large fluctuations in the `volume' of market participants and the resulting market `price'.
引用
@article{arxiv.cond-mat/9910072,
title = {Trader dynamics in a model market},
author = {Neil F. Johnson and Michael Hart and Pak Ming Hui and Dafang Zheng},
journal= {arXiv preprint arXiv:cond-mat/9910072},
year = {2007}
}
备注
Work presented at the EPS Dublin finance conference (July '99)