Inter-Pattern Speculation: Beyond Minority, Majority and $-Games
Posted: 15 Oct 2008
Date Written: October, 13 2008
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, hold 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: agent-based modelling, speculation, efficiency, minority game
JEL Classification: G14, C73
Suggested Citation: Suggested Citation