90 citations · 150 across the 4 of their papers we have counts for
4 papers
Impact of meta-order in the Minority Game
Andre Cardoso Barato, Iacopo Mastromatteo, Marco Bardoscia +1
We study the market impact of a meta-order in the framework of the Minority Game. This amounts to studying the response of the market when introducing a trader who buys or sells a…
Eroding market stability by proliferation of financial instruments
Fabio Caccioli, Matteo Marsili, Pierpaolo Vivo
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setti…
Generalized minority games with adaptive trend-followers and contrarians
A. De Martino, I. Giardina, M. Marsili +1
We introduce a simple extension of the minority game in which the market rewards contrarian (resp. trend-following) strategies when it is far from (resp. close to) efficiency. The…
Statistical mechanics of asset markets with private information
Johannes Berg, Matteo Marsili, Aldo Rustichini +1
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately…