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.
Generalized minority games with adaptive trend-followers and contrarians / A., De Martino; Giardina, irene rosana; A., Tedeschi; M., Marsili. - In: PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS. - ISSN 1539-3755. - 70:2(2004), pp. 025104-025104. [10.1103/PhysRevE.70.025104]
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Titolo: | Generalized minority games with adaptive trend-followers and contrarians | |
Autori: | ||
Data di pubblicazione: | 2004 | |
Rivista: | ||
Citazione: | Generalized minority games with adaptive trend-followers and contrarians / A., De Martino; Giardina, irene rosana; A., Tedeschi; M., Marsili. - In: PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS. - ISSN 1539-3755. - 70:2(2004), pp. 025104-025104. [10.1103/PhysRevE.70.025104] | |
Handle: | http://hdl.handle.net/11573/615248 | |
Appartiene alla tipologia: | 01a Articolo in rivista |