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Parrondo strategies for artificial traders
RISE, Swedish ICT, SICS, Decisions, Networks and Analytics lab.ORCID iD: 0000-0001-7949-1815
2001 (English)In: Intelligent Agent Technology, World Scientific, 2001, 1, , p. 10p. 150-159Chapter in book (Refereed)
Abstract [en]

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.

Place, publisher, year, edition, pages
World Scientific, 2001, 1. , p. 10p. 150-159
National Category
Computer and Information Sciences
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URN: urn:nbn:se:ri:diva-22622ISBN: 9810247060 (print)OAI: oai:DiVA.org:ri-22622DiVA, id: diva2:1042187
Available from: 2016-10-31 Created: 2016-10-31 Last updated: 2018-01-17Bibliographically approved

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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
  • html
  • text
  • asciidoc
  • rtf
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