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.
Detecting the traders’ strategies in minority–majority games and real stock-prices / Alfi, Valentina; A., DE MARTINO; Pietronero, Luciano; A., Tedeschi. - In: PHYSICA. A. - ISSN 0378-4371. - STAMPA. - 382:1(2007), pp. 1-8. [10.1016/j.physa.2007.02.081]
Detecting the traders’ strategies in minority–majority games and real stock-prices
ALFI, Valentina;PIETRONERO, Luciano;
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
