Traders' strategy with price feedbacks in financial market

Takayuki Mizuno, Tohur Nakano, Misako Takayasu and Hideki Takayasu

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 330-334

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.

Keywords: Econophysics; Financial market; Self-modulation effect (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:330-334

DOI: 10.1016/j.physa.2004.06.145

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