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JOURNALS // Problemy Upravleniya // Archive

Probl. Upr., 2014 Issue 5, Pages 34–41 (Mi pu876)

Control in the socio-economic systems

Effectiveness of different trading strategies for price-takers

L. G. Egorova

National Research University — Higher School of Economics

Abstract: Simulation models of stock exchange are developed to explore the dependence between trader's ability to predict future price change and her wealth and probability of bankruptcy. The paper shows that for the case of cautious behavior (i.e. absence of margin trading) the rate of successful predictions should be just slightly higher than 0,5 and such small value explains why so many people try to trade on the stock exchange.

Keywords: agent-based models, trading strategies, prosperity of an agent, probability of bankruptcy.

UDC: 51-77



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