Traders in a Strange Land: Agent-based discrete-event market simulation of the Figgie card game

Steven DiSilvio, Yu, Luo and Anthony Ozerov
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Steven DiSilvio: Anna
Yu: Anna

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Abstract: Figgie is a card game that approximates open-outcry commodities trading. We design strategies for Figgie and study their performance and the resulting market behavior. To do this, we develop a flexible agent-based discrete-event market simulation in which agents operating under our strategies can play Figgie. Our simulation builds upon previous work by simulating latencies between agents and the market in a novel and efficient way. The fundamentalist strategy we develop takes advantage of Figgie's unique notion of asset value, and is, on average, the profit-maximizing strategy in all combinations of agent strategies tested. We develop a strategy, the "bottom-feeder", which estimates value by observing orders sent by other agents, and find that it limits the success of fundamentalists. We also find that chartist strategies implemented, including one from the literature, fail by going into feedback loops in the small Figgie market. We further develop a bootstrap method for statistically comparing strategies in a zero-sum game. Our results demonstrate the wide-ranging applicability of agent-based discrete-event simulations in studying markets.

Date: 2021-10
New Economics Papers: this item is included in nep-cmp, nep-gth and nep-spo
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2110.00879

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