ترغب بنشر مسار تعليمي؟ اضغط هنا

A quantitative model of trading and price formation in financial markets

154   0   0.0 ( 0 )
 نشر من قبل Marcus G. Daniels
 تاريخ النشر 2001
  مجال البحث فيزياء مالية
والبحث باللغة English




اسأل ChatGPT حول البحث

We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of a market, such as the diffusion rate of prices, which is the standard measure of financial risk, and the spread and price impact functions, which are the main determinants of transaction cost. Guided by dimensional analysis, simulation, and mean field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices.



قيم البحث

اقرأ أيضاً

101 - Taisei Kaizoji 2002
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and find that i t is closely related to trading volume as observed in real markets. The cumulative distribution of log returns exhibits scaling with exponents steeper than 2 and scaling is observed in the distribution of transition times between bull and bear markets.
We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) simeq R^{-beta}$ with the exp onents $ beta=3.11$(the time interval $tau=$ one minute) and 3.36($tau=$ one day). The informational cascade regime appears in the herding parameter $Hge 2.33$ at $tau=$ one minute, while it occurs no herding at $tau=$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step $Delta t=1$ day.
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem using singul ar perturbation methods. We prove, by constructing sub- and super-solutions, that the approximations are accurate to the specified order. Finally, we perform some numerical experiments to illustrate the effect that stochastic trading frictions have on optimal trading.
We study an economic model where agents trade a variety of products by using one of three competing rules: need, greed and noise. We find that the optimal strategy for any agent depends on both product composition in the overall market and compositio n of strategies in the market. In particular, a strategy that does best on pairwise competition may easily do much worse when all are present, leading, in some cases, to a paper, stone, scissors circular hierarchy.
109 - Zhi-Feng Huang 2000
A self-organized model with social percolation process is proposed to describe the propagations of information for different trading ways across a social system and the automatic formation of various groups within market traders. Based on the market structure of this model, some stylized observations of real market can be reproduced, including the slow decay of volatility correlations, and the fat tail distribution of price returns which is found to cross over to an exponential-type asymptotic decay in different dimensional systems.
التعليقات
جاري جلب التعليقات جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا