Inter-Pattern Speculation: Beyond Minority, Majority and $-Games

Posted: 15 Oct 2008

See all articles by Damien Challet

Damien Challet

CentraleSupélec; Encelade Capital SA

Date Written: October, 13 2008

Abstract

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

Challet, Damien, Inter-Pattern Speculation: Beyond Minority, Majority and $-Games (October, 13 2008). Journal of Economic Dynamics and Control, Vol. 32, No. 1, 2007. Available at SSRN: https://ssrn.com/abstract=1283785

Damien Challet (Contact Author)

CentraleSupélec ( email )

Labo MICS
3, rue Joliot-Curie
Gif-sur-Yvette, 91192
France

Encelade Capital SA ( email )

Chemin du Bochet 8
Sulpice, 1025
Switzerland

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