Game Theory and Trading Options/futures

[dlab2000]

I'm currently about to write a thesis in mathematics and I'm interested in doing something about game theory applied to trading zero sum markets such as the futures and options markets. Does anyone here know if anything good has been written on this topic, books, articles etc. I'm probably not looking to create winning trading strategies (I'm not a trader), but rather try to descibe the actions of traders in a pit for example, by applying game theory.

Anything on this topic would be very helpful...
Thanks

 

[apples10]

I'm currently about to write a thesis in mathematics and I'm interested in doing something about game theory applied to trading zero sum markets such as the futures and options markets. Does anyone here know if anything good has been written on this topic, books, articles etc. I'm probably not looking to create winning trading strategies (I'm not a trader), but rather try to descibe the actions of traders in a pit for example, by applying game theory.

Anything on this topic would be very helpful...
Thanks

hi, you're probably best posting the same question on www.wilmott.com - more theoretical discussions on there. rgds

 

[dlab2000]

Great, thanks!!!

hi, you're probably best posting the same question on www.wilmott.com - more theoretical discussions on there. rgds

thanks, i'll check it out

 

[Rhody Trader]

I'm currently about to write a thesis in mathematics and I'm interested in doing something about game theory applied to trading zero sum markets such as the futures and options markets....

Just a quick point of note - options are not a zero-sum game because of the premium involved. Futures definitely are.

 

[silviaic]

I'm currently about to write a thesis in mathematics and I'm interested in doing something about game theory applied to trading zero sum markets such as the futures and options markets. Does anyone here know if anything good has been written on this topic, books, articles etc. I'm probably not looking to create winning trading strategies (I'm not a trader), but rather try to descibe the actions of traders in a pit for example, by applying game theory.

Anything on this topic would be very helpful...
Thanks

You should read

Gaming the Market: Applying Game Theory to Create Winning Trading Strategies
by Ron Shelton

You can get it at amazon. Don't pay attention to the negative reviews as they're from people who seem to have very little/no knowledge about the subject, and looks to me like they didn't even try to understand the book. I was almost put off by them, but then I decided to buy it . (I trust myself, and I wanted to have my own opinion.) As a mathematician you won't have any problem (the mathematic involved is simple), and you can just concentrate in his research and views.
Good luck,

Silvia.

 

[dlab2000]

You should read

Gaming the Market: Applying Game Theory to Create Winning Trading Strategies
by Ron Shelton

You can get it at amazon. Don't pay attention to the negative reviews as they're from people who seem to have very little/no knowledge about the subject, and looks to me like they didn't even try to understand the book. I was almost put off by them, but then I decided to buy it . (I trust myself, and I wanted to have my own opinion.) As a mathematician you won't have any problem (the mathematic involved is simple), and you can just concentrate in his research and views.
Good luck,

Silvia.

Thanks
I was actually thinking about buying the book, but just like you I read some negative opinions on it. Now I might take a look at it...
Seems like the biggest problem is to formulate some kind of problem on the subject, maybe I should contact the trading firm I interned with in London last summer, they maight have some ideas...
Anyway if you have any suggestion at all about something that could be interesting to look at, I would be very greatful... the only relevant research I´ve found so far treats markets with risk neutral specialist/MM, volume/nosie traders (i guess that would be scalpers) and an insider trader (with superior information), and how this leads to a positive bid-ask spread..

Thanks for the info so far, any information is good information ...

 

[charliechan]

as i understand game theory, it is better suited to risk management and exposure than any specific entry/exit condition.

only have a very basic understanding though.