TRADER DYNAMICS IN A MODEL MARKET
2000 ◽
Vol 03
(03)
◽
pp. 443-450
◽
Keyword(s):
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".
Keyword(s):
Keyword(s):
Keyword(s):
2001 ◽
Vol 6
(3)
◽
pp. 171-180
◽
Keyword(s):
Keyword(s):
2012 ◽
Vol 02
(11)
◽
pp. 15-24
2000 ◽
Vol 03
(03)
◽
pp. 347-355
◽
Keyword(s):