The Grounds For Time Dependent Market Potentials From Dealers' Dynamics
General Finance
2009-11-13 v1 Data Analysis, Statistics and Probability
Physics and Society
Abstract
We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer model. We find that dealers' feedback of linear prediction of market price based on the latest mean price changes plays the central role in the market's potential force. When markets are dominated by dealers with positive feedback the resulting potential force is repulsive, while the effect of negative feedback enhances the attractive potential force.
Cite
@article{arxiv.0710.1729,
title = {The Grounds For Time Dependent Market Potentials From Dealers' Dynamics},
author = {Kenta Yamada and Hideki Takayasu and Misako Takayasu},
journal= {arXiv preprint arXiv:0710.1729},
year = {2009}
}
Comments
9 pages, 3 figures, proceedings of APFA6