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Generalized minority games with adaptive trend-followers and contrarians

A. De Martino·I. Giardina·M. Marsili·A. Tedeschi
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Abstract

We introduce a simple extension of the minority game in which the market rewards contrarian (resp. trend-following) strategies when it is far from (resp. 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.

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A. De Martino, I. Giardina, M. Marsili, A. Tedeschi. 2004-03-26. Generalized minority games with adaptive trend-followers and contrarians. https://doi.org/10.1103/physreve.70.025104

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