文献类型：期刊文献

英文题名：Trading model with pair pattern strategies

作者：Ren, F.[1,2];Zhang, Y. C.[3,4]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Univ Fribourg, Dept Phys, CH-1700 Perolles, Switzerland;[4]Renmin Univ, Dept Phys, Beijing, Peoples R China

年份：2008

卷号：387

期号：22

起止页码：5523

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20083011406443);WOS:【SSCI(收录号:WOS:000258990500021)，SCI-EXPANDED(收录号:WOS:000258990500021)】；

基金：We thank D. Challet for helpful comments and suggestions and ISI, Torino, Italy and Renmin Univ, Beijing, China for financial support. This work was partially supported by the Shanghai Educational Development Foundation (No. 2008CG37).

语种：英文

外文关键词：agent-based modeling; minority game; price impact; power-law behavior

摘要：A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behavior is observed for the return variance sigma(2), the price impact H and the preclictability K for both models, with linear and square root impact functions. The sum of the traders' wealth displays a positive value for the model with a square root price impact function, and a qualitative explanation is given based on the observation of the conditional excess demand < A/u >. The cumulative wealth distribution also obeys a power-law behavior with an exponent close to that of real markets. An evolutionary trading model is further proposed. The elimination mechanism effectively changes the behavior of traders, and a power-law behavior is observed in the measure of zero return distribution P(r = 0). The trading model with other types of traders, e.g., traders with the MG's strategies and producers, are also carefully studied. (C) 2008 Elsevier B.V. All rights reserved.