Boman, Magnus and Johansson, Stefan and Lybäck, David (2001) Parrondo strategies for artificial traders. In: Intelligent Agent Technology. World Scientific Publishing Company, pp. 150-159. ISBN 9810247060
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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.
|Item Type:||Book Section|
|Deposited By:||INVALID USER|
|Deposited On:||15 Jul 2008|
|Last Modified:||18 Nov 2009 16:17|
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