| Autor: |
Jacek Syska, Jan Sładkowski, Edward W. Piotrowski |
| Rok vydání: |
2010 |
| Předmět: |
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| Zdroj: |
Physica A: Statistical Mechanics and its Applications. 389:4904-4912 |
| ISSN: |
0378-4371 |
| DOI: |
10.1016/j.physa.2010.06.062 |
| Popis: |
Two of the present authors have put forward a projective geometry based model of rational trading that implies a model for subjective demand/supply profiles if one considers closing of a position as a random process. We would like to present the analysis of a subjectivity in such trading models. In our model, the trader gets the maximal profit intensity when the probability of transaction is ∼ 0.5853 . We also present a comparison with the model based on the Maximum of Entropy Principle. To the best of our knowledge, this is one of the first analyses that show a concrete situation in which trader profit optimal value is in the class of price-negotiating algorithms (strategies) resulting in non-monotonic demand (supply) curves of the Rest of the World (a collective opponent). Our model suggests that there might be a new class of rational trader strategies that (almost) neglects the supply–demand profile of the market. This class emerges when one tries to minimize the information that strategies reveal. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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