28 research outputs found
Parrondo Strategies for Artificial Traders
On markets with receding prices, artificial noise traders may consider
alternatives to buy-and-hold. By simulating variations of the Parrondo
strategy, using real data from the Swedish stock market, we produce first
indications of a buy-low-sell-random Parrondo variation outperforming
buy-and-hold. Subject to our assumptions, buy-low-sell-random also outperforms
the traditional value and trend investor strategies. We measure the success of
the Parrondo variations not only through their performance compared to other
kinds of strategies, but also relative to varying levels of perfect
information, received through messages within a multi-agent system of
artificial traders.Comment: 10 pages, 4 figure
Strategies used as spectroscopy of financial markets reveal new stylized facts
We propose a new set of stylized facts quantifying the structure of financial
markets. The key idea is to study the combined structure of both investment
strategies and prices in order to open a qualitatively new level of
understanding of financial and economic markets. We study the detailed order
flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This
enormous dataset allows us to compare (i) a closed national market (A-shares)
with an international market (B-shares), (ii) individuals and institutions and
(iii) real investors to random strategies with respect to timing that share
otherwise all other characteristics. We find that more trading results in
smaller net return due to trading frictions. We unveiled quantitative power
laws with non-trivial exponents, that quantify the deterioration of performance
with frequency and with holding period of the strategies used by investors.
Random strategies are found to perform much better than real ones, both for
winners and losers. Surprising large arbitrage opportunities exist, especially
when using zero-intelligence strategies. This is a diagnostic of possible
inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl
Implementing an Agent Trade Server
An experimental server for stock trading autonomous agents is presented and
made available, together with an agent shell for swift development. The server,
written in Java, was implemented as proof-of-concept for an agent trade server
for a real financial exchange.Comment: 14 pages, 7 figures, intended for B/W printin
Discrete--time ratchets, the Fokker--Planck equation and Parrondo's paradox
Parrondo's games manifest the apparent paradox where losing strategies can be
combined to win and have generated significant multidisciplinary interest in
the literature. Here we review two recent approaches, based on the
Fokker-Planck equation, that rigorously establish the connection between
Parrondo's games and a physical model known as the flashing Brownian ratchet.
This gives rise to a new set of Parrondo's games, of which the original games
are a special case. For the first time, we perform a complete analysis of the
new games via a discrete-time Markov chain (DTMC) analysis, producing winning
rate equations and an exploration of the parameter space where the paradoxical
behaviour occurs.Comment: 17 pages, 5 figure
The Ubiquitous Interactor - Device Independent Access to Mobile Services
The Ubiquitous Interactor (UBI) addresses the problems of design and
development that arise around services that need to be accessed from many
different devices. In UBI, the same service can present itself with different
user interfaces on different devices. This is done by separating interaction
between users and services from presentation. The interaction is kept the same
for all devices, and different presentation information is provided for
different devices. This way, tailored user interfaces for many different
devices can be created without multiplying development and maintenance work. In
this paper we describe the system design of UBI, the system implementation, and
two services implemented for the system: a calendar service and a stockbroker
service