Trader dynamics in a model market

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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'.
Work presented at the EPS Dublin finance conference (July '99)

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Condensed Matter

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http://salesiana.dossiersoluciones.com/handle/123456789/29790

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/9910072
 http://arxiv.org/abs/cond-mat/9910072

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arXiv