Detecting the traders' strategies in Minority-Majority games and real stock-prices

A brief review is given of the minority game, an idealized model of a market of speculative agents, and its complex many-body behaviour. Particular consideration is given to the consequences and implications of correlations between stategies and different frequencies and timings of adaptation.

The Minority Game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extend this is a reasonable statement, and present minimal modifications that make this model reproduce stylized facts. The resulting model shows that without speculators, prices follow random walks, and that stylized facts disappear if enough speculators take into account their market impact.

We discuss a method for predicting financial movements and finding pockets of predictability in the price-series, which is built around inferring the heterogeneity of trading strategies in a multi-agent trader population. This work explores extensions to our previous framework (arXiv:physics/0506134). Here we allow for more intelligent agents possessing a richer strategy set, and we no longer constrain the estimate for the heterogeneity of the agents to a probability space. W...

Using the Minority Game model we study a broad spectrum of problems of market mechanism. We study the role of different types of agents: producers, speculators as well as noise traders. The central issue here is the information flow : producers feed in the information whereas speculators make it away. How well each agent fares in the common game depends on the market conditions, as well as their sophistication. Sometimes there is much to gain with little effort, sometimes gre...

We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a strategy chosen from a proportional voting ``dominated'' by a leader's decision. The interplay of both kind of agents gives rise to complex price dynamics that is consistent with the main stylized facts of financial time series.

A brief review is given of the minority game, an idealized model stimulated by a market of speculative agents, and its complex many-body behaviour. Particular consideration is given to analytic results for the model rather than discussions of its relevance in real-world situations.

We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic limit and show that stylized facts arise only close to a line of critical points with non-trivial properties. By a simple argument, we show that, in Minority Games, the emergence of critical fluctuations close to the phase transition is governed by the interplay between the signal...

We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strategies' past performance. Based on the chosen trading strategy they determine their prediction of the movement for the following time period of a single asset. We find empirically using stocks from the S&P500 that our prediction model yields a high success rate of over 51.5% and produces higher returns...

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...

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors' global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors' asymmetric response to gains and losses leads to the occurrence of herd behavior, when a...