The grounds for time dependent market potentials from dealers' dynamics

DOI10.1140/EPJB/E2008-00155-4MaRDI QIDQ978623zbMATH OpenOpenAlexWikidataFDO

Authors J. Martínez

Publication date 25 June 2010

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

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

zbMATH Keywords

econophysicsfinancial marketsbusiness and management

Mathematics Subject Classification ID

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

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.

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Cites work

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

Cited in

(4)

• Random coefficient autoregressive processes and the PUCK model with fluctuating potential
• Distribution of asset price movement and market potential
• Observation of Two Types of Behaviors of Financial Bubbles and the Related Higher-Order Potential Forces
• Rapid detection of the switching point in a financial market structure using the particle filter

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