کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
977851 933215 2008 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Trading model with pair pattern strategies
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Trading model with pair pattern strategies
چکیده انگلیسی

A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behavior is observed for the return variance σ2σ2, the price impact HH and the predictability KK for both models, with linear and square root impact functions. The sum of the traders’ wealth displays a positive value for the model with a square root price impact function, and a qualitative explanation is given based on the observation of the conditional excess demand 〈A|u〉〈A|u〉. The cumulative wealth distribution also obeys a power-law behavior with an exponent close to that of real markets. An evolutionary trading model is further proposed. The elimination mechanism effectively changes the behavior of traders, and a power-law behavior is observed in the measure of zero return distribution P(r=0)P(r=0). The trading model with other types of traders, e.g., traders with the MG’s strategies and producers, are also carefully studied.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 22, 15 September 2008, Pages 5523–5534
نویسندگان
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