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Traders' strategy with price feedbacks in financial market

Author

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  • Mizuno, Takayuki
  • Nakano, Tohur
  • Takayasu, Misako
  • Takayasu, Hideki

Abstract

We introduce an autoregressive-type model of prices in the 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.

Suggested Citation

  • Mizuno, Takayuki & Nakano, Tohur & Takayasu, Misako & Takayasu, Hideki, 2004. "Traders' strategy with price feedbacks in financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 330-334.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:330-334
    DOI: 10.1016/j.physa.2004.06.145
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    References listed on IDEAS

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    1. Tetsuji Okazaki, 2002. ""Labor Organization in Wartime Japan: Rethinking the Role of Sangyo Hokokukai" (in Japanese)," CIRJE J-Series CIRJE-J-73, CIRJE, Faculty of Economics, University of Tokyo.
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    Cited by:

    1. Shan Lu & Jichang Zhao & Huiwen Wang, 2018. "The Power of Trading Polarity: Evidence from China Stock Market Crash," Papers 1802.01143, arXiv.org.
    2. Ted Theodosopoulos & Alex Trifunovic, 2006. "Hybrid dynamics for currency modeling," Papers math/0605457, arXiv.org.
    3. Aki-Hiro Sato, 2005. "A characteristic time scale of tick quotes on foreign currency markets," Papers physics/0509142, arXiv.org.

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