Generalized minority games with adaptive trend-followers and contrarians
arXiv:cond-mat/0403649 · doi:10.1103/PhysRevE.70.025104
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.
4 pages, 6 figures