On possible origins of trends in financial market price changes

Ryo Murakami, Tomomichi Nakamura, Shin Kimura, Masashi Manabe and Toshihiro Tanizawa

Papers from arXiv.org

Abstract: We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One is that the trend of monotonic increase and decrease can be generated by dealers' minuscule change in mood, which corresponds to the possible fundamentals. The other is that the emergence of trends is all but inevitable in the realistic situation because of the fact that dealers cannot always obtain accurate information about deals, even if there is no influence from fundamentals and technical analyses.

Date: 2014-06, Revised 2014-11
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1406.5276

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