Ren, F. Zhang, Yi-Cheng 2008-06-24 A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behavior is observed for the return variance <i>σ</i>², the price impact <i>H</i> and the predictability <i>K</i> for both models, with linear and square root impact functions. The sum of the traders’ wealth displays a positive value for the model with a square root price impact function, and a qualitative explanation is given based on the observation of the conditional excess demand 〈<i>A</i>|<i>u</i>〉. The cumulative wealth distribution also obeys a power-law behavior with an exponent close to that of real markets. An evolutionary trading model is further proposed. The elimination mechanism effectively changes the behavior of traders, and a power-law behavior is observed in the measure of zero return distribution <i>P</i>(<i>r</i>=0). The trading model with other types of traders, e.g., traders with the MG’s strategies and producers, are also carefully studied. application/pdf https://folia.unifr.ch/global/documents/301301 https://folia.unifr.ch/documents/301301/files/zhang_tnn.pdf eng info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2008.06.027 info:eu-repo/semantics/openAccess License undefined Physica A: Statistical Mechanics and its Applications. - 2008, vol. 387, no. 22, p. 5523-5534 Agent-based modeling Minority Game Price impact Power-law behavior info:eu-repo/classification/udc/53 Trading model with pair pattern strategies http://purl.org/coar/resource_type/c_6501