Phys. Rev. E 70, 025104(R) (2004) [4 pages]

Generalized minority games with adaptive trend-followers and contrarians

Abstract

References

Citing Articles (2)

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A. De Martino¹, I. Giardina¹, A. Tedeschi¹, and M. Marsili²
¹INFM-SMC and Dipartimento di Fisica, Università di Roma “La Sapienza,” Piazzale A. Moro 2, 00185 Roma, Italy
²The Abdus Salam ICTP, Strada Costiera 11, 34014 Trieste, Italy

Received 29 March 2004; published 31 August 2004

We introduce a simple extension of the minority game in which the market rewards contrarian (respectively, trend-following) strategies when it is far from (respectively, close to) efficiency. The model displays a smooth crossover from a regime where contrarians dominate to one where trend-followers dominate. In the intermediate phase, the stationary state is characterized by non-Gaussian features as well as by the formation of sustained trends and bubbles.

URL:

http://link.aps.org/doi/10.1103/PhysRevE.70.025104

DOI:

10.1103/PhysRevE.70.025104

PACS:

89.65.Gh, 05.20.−y, 05.70.Fh

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Phys. Rev. E 70, 025104(R) (2004) [4 pages]

Generalized minority games with adaptive trend-followers and contrarians