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Imperfect Oracles: The Effect of Strategic Information on Stock Markets
arXiv - CS - Computer Science and Game Theory Pub Date : 2020-11-21 , DOI: arxiv-2011.10837
Miklos BorsiUniversity of Bristol

Modern financial market dynamics warrant detailed analysis due to their significant impact on the world. This, however, often proves intractable; massive numbers of agents, strategies and their change over time in reaction to each other leads to difficulties in both theoretical and simulational approaches. Notable work has been done on strategy dominance in stock markets with respect to the ratios of agents with certain strategies. Perfect knowledge of the strategies employed could then put an individual agent at a consistent trading advantage. This research reports the effects of imperfect oracles on the system - dispensing noisy information about strategies - information which would normally be hidden from market participants. The effect and achievable profits of a singular trader with access to an oracle were tested exhaustively with previously unexplored factors such as changing order schedules. Additionally, the effect of noise on strategic information was traced through its effect on trader efficiency.

中文翻译:

不完美的甲骨文:战略信息对股票市场的影响

由于现代金融市场动态会对世界产生重大影响,因此有必要进行详细分析。然而,这通常被证明是棘手的。大量的主体,策略及其随着时间的变化相互反应,导致理论和模拟方法都面临困难。关于具有某些策略的代理商比例,在股票市场上的策略优势方面已经进行了值得注意的工作。这样,对所采用策略的全面了解就可以使单个代理商获得一致的交易优势。这项研究报告了不完善的预言系统对系统的影响-散发出有关策略的嘈杂信息-通常对市场参与者不可见的信息。可以使用先前未曾探索的因素(例如更改订单计划)详尽地测试了能够使用Oracle的单一交易者的效果和可实现的利润。此外,噪音对战略信息的影响可通过其对交易员效率的影响来追溯。
更新日期:2020-11-25
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