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Real payoffs and virtual trading in agent based market models

Author

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  • Ferreira, Fernando F.
  • Marsili, Matteo

Abstract

The $-Game was recently introduced as an extension of the Minority Game. In this paper we compare this model with the well know Minority Game and the Majority Game models. Due to the inter-temporal nature of the market payoff, we introduce a two step transaction with single and mixed group of interacting traders. When the population is composed of two different group of $-traders, they show an anti-imitative behavior. However, when they interact with minority or majority players the $-population imitates the usual behavior of these players. Finally we discuss how these models contribute to clarify the market mechanism.

Suggested Citation

  • Ferreira, Fernando F. & Marsili, Matteo, 2005. "Real payoffs and virtual trading in agent based market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(3), pages 657-675.
    • Handle: RePEc:eee:phsmap:v:345:y:2005:i:3:p:657-675
    DOI: 10.1016/j.physa.2004.07.004
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Kei Katahira & Yu Chen, 2019. "Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game," Papers 1909.03185, arXiv.org.
    2. Kiniwa, Jun & Koide, Takeshi & Sandoh, Hiroaki, 2009. "Analysis of price behavior in lazy $-game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3879-3891.
    3. Damien Challet & Tobias Galla, 2005. "Price return autocorrelation and predictability in agent-based models of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 569-576.
    4. Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
    5. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.

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