Detecting the traders’ strategies in minority–majority games and real stock-prices

V. Alfi, A. De Martino, L. Pietronero and A. Tedeschi

Physica A: Statistical Mechanics and its Applications, 2007, vol. 382, issue 1, 1-8

Abstract: Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority–majority model and indeed it is capable of reconstructing the prevailing traders’ strategies in a given time interval. Then we also analyze real (NYSE) stock-prices dynamics and it is possible to derive an indication for the “sentiment” of the market for time intervals of at least one day.

Keywords: Complex systems; Time series analysis; Financial data; Economic systems (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:382:y:2007:i:1:p:1-8

DOI: 10.1016/j.physa.2007.02.081

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