Trader Dynamics in a Model Market
نویسندگان
چکیده
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’.
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