The price dynamics of common trading strategies

Details The price dynamics of common trading strategies The price dynamics of common trading strategies

2000-12-21

arxiv.org/abs/cond-mat/0012419v1

Physics

Condensed Matter

Statistical Mechanics

29 pages, 12 figures

Scientific paper

A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price formation to study the price dynamics induced by several commonly used financial trading strategies, showing how they amplify noise, induce structure in prices, and cause phenomena such as excess and clustered volatility.

Affiliated with

Also associated with

No associations

Rating

The price dynamics of common trading strategies does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with The price dynamics of common trading strategies, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The price dynamics of common trading strategies will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-613938