Traders' strategy with price feedbacks in financial market

Takayuki Mizuno, Tohur Nakano, Misako Takayasu and Hideki Takayasu

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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.

Date: 2003-12
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