Traders' strategy with price feedbacks in financial market
Traders' strategy with price feedbacks in financial market
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DOI：
10.1016/j.physa.2004.06.145
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发表时间：
2004-12-01
影响因子：
3.3
通讯作者：
Takayasu, H
中科院分区：
文献类型：
--
作者：
Mizuno, T;Nakano, T;Takayasu, H
我们引入一种考虑自调节效应的金融市场价格自回归型模型。我们发现交易者主要使用对过去价格进行加权反馈的策略。这些反馈是短期内缓慢扩散、明显趋势以及价格变化的幂律分布的原因。© 2004爱思唯尔有限公司。保留所有权利。
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. (C) 2004 Elsevier B.V. All rights reserved.