Traders' strategy with price feedbacks in financial market

Details Traders' strategy with price feedbacks in financial market Traders' strategy with price feedbacks in financial market

2003-12-20

arxiv.org/abs/cond-mat/0312547v1

Physics

Condensed Matter

Statistical Mechanics

4 pages, 5 figures, submitted to Physica A

Scientific paper

10.1016/j.physa.2004.06.145

We introduce an autoregressive-type model of prices in 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.

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