| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 979569 | Physica A: Statistical Mechanics and its Applications | 2007 | 8 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
V. Alfi, A. De Martino, L. Pietronero, A. Tedeschi,