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 smoothcrossover from a regime where contrarians dominate to one where trend-followers dominate. In the intermediatephase, the stationary state is characterized by non-Gaussian features as well as by the formation ofsustained trends and bubbles.
Generalized minority games with adaptive trend-followers and contrarians
De Martino, A.;Giardina, I.;Tedeschi, A.;Marsili, M.
2004
Abstract
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 smoothcrossover from a regime where contrarians dominate to one where trend-followers dominate. In the intermediatephase, the stationary state is characterized by non-Gaussian features as well as by the formation ofsustained trends and bubbles.File in questo prodotto:
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