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

Articolo
Data di Pubblicazione:
2007
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.
Tipologia CRIS:
01.01 Articolo in rivista
Keywords:
Complex systems; Time series analysis; Financial data; Economic systems
Elenco autori:
Pietronero, Luciano; DE MARTINO, Andrea
Autori di Ateneo:
DE MARTINO ANDREA
Link alla scheda completa:
https://iris.cnr.it/handle/20.500.14243/176389
Pubblicato in:
PHYSICA. A
Journal
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URL

http://www.sciencedirect.com/science/article/pii/S037843710700129X
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