EconPapers    
Economics at your fingertips  
 

Feedback trading and intermittent market turbulence

Demosthenes Tambakis ()

Quantitative Finance, 2009, vol. 9, issue 4, 477-489

Abstract: This paper studies the potential for complex asset return dynamics in a high-frequency, non-fundamental feedback trading model. Price adjustment is driven by the time-varying price impact of net orderflow. In tranquil times feedback trading has no impact on the price level. Given feedback trading intensities, as asset liquidity declines the market progressively becomes stressed and turbulent. Returns and absolute returns persistence are found to display power-law features, and episodes of turbulence are intermittent.

Keywords: Feedback trading; Price impact; Financial stability; Intermittence; Power law (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/14697680802448785 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Feedback Trading and Intermittent Market Turbulence (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:9:y:2009:i:4:p:477-489

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697680802448785

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2020-11-11
Handle: RePEc:taf:quantf:v:9:y:2009:i:4:p:477-489