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Persistent link: https://www.econbiz.de/10009283122
The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information...
Persistent link: https://www.econbiz.de/10008918254
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a probabilistic response of the system elements to stress...
Persistent link: https://www.econbiz.de/10008574246
The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an...
Persistent link: https://www.econbiz.de/10008646437
Persistent link: https://www.econbiz.de/10008675061
The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information...
Persistent link: https://www.econbiz.de/10010659555
We develop a probabilistic consumer choice framework based on information asymmetry between consumers and firms. This framework makes it possible to study market competition of several firms by both quality and price of their products. We find Nash market equilibria and other optimal strategies...
Persistent link: https://www.econbiz.de/10010754246
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We present and study a Minority Game based model of a financial market where adaptive agents - the speculators - interact with deterministic agents - called producers. Speculators trade only if they detect predictable patterns which grant them a positive gain. Indeed the average number of active...
Persistent link: https://www.econbiz.de/10012742648