The grounds for time dependent market potentials from dealers' dynamics

DOI10.1140/EPJB/E2008-00155-4zbMATH Open1189.91136arXiv0710.1729OpenAlexW3106468035WikidataQ111620791 ScholiaQ111620791MaRDI QIDQ978623FDOQ978623

J. Martínez

Publication date: 25 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Abstract: We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer model. We find that dealers' feedback of linear prediction of market price based on the latest mean price changes plays the central role in the market's potential force. When markets are dominated by dealers with positive feedback the resulting potential force is repulsive, while the effect of negative feedback enhances the attractive potential force.

Full work available at URL: https://arxiv.org/abs/0710.1729

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zbMATH Keywords

econophysicsfinancial marketsbusiness and management

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Trade models (91B60)

Cites Work

• Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness
• Analysis of high-resolution foreign exchange data of USD-JPY for 13 years

Cited In (2)

• Random coefficient autoregressive processes and the PUCK model with fluctuating potential
• Rapid detection of the switching point in a financial market structure using the particle filter

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