Traders' strategy with price feedbacks in financial market
Statistical Mechanics
2009-11-10 v1 Trading and Market Microstructure
Abstract
We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible for the slow diffusion in short times, apparent trends and power law distribution of price changes.
Keywords
Cite
@article{arxiv.cond-mat/0312547,
title = {Traders' strategy with price feedbacks in financial market},
author = {Takayuki Mizuno and Tohur Nakano and Misako Takayasu and Hideki Takayasu},
journal= {arXiv preprint arXiv:cond-mat/0312547},
year = {2009}
}
Comments
4 pages, 5 figures, submitted to Physica A