Swarm behavior of traders with different subjective predictions in the Market
Trading and Market Microstructure
2017-03-07 v1 Adaptation and Self-Organizing Systems
Physics and Society
Abstract
A combination of a priority queueing model and mean field theory shows the emergence of traders' swarm behavior, even when each has a subjective prediction of the market driven by a limit order book. Using a nonlinear Markov model, we analyze the dynamics of traders who select a favorable order price taking into account the waiting cost incurred by others. We find swarm behavior emerges because of the delay in trader reactions to the market, and the direction of the swarm is decided by the current market position and the intensity of zero-intelligent random behavior, rather than subjective trader predictions.
Keywords
Cite
@article{arxiv.1703.01291,
title = {Swarm behavior of traders with different subjective predictions in the Market},
author = {Hiroshi Toyoizumi},
journal= {arXiv preprint arXiv:1703.01291},
year = {2017}
}