Trading model with pair pattern strategies
- Ren, F. School of Business, East China University of Science and Technology, Shanghai, China - Research Center for Econophysics, East China University of Science and Technology, Shanghai, China
- Zhang, Yi-Cheng Departement de Physique, Université de Fribourg, Switzerland - Physics Department, Renmin University, Beijing, China
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24.06.2008
Published in:
- Physica A: Statistical Mechanics and its Applications. - 2008, vol. 387, no. 22, p. 5523-5534
English
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behavior is observed for the return variance σ², the price impact H and the predictability K 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〉. 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). The trading model with other types of traders, e.g., traders with the MG’s strategies and producers, are also carefully studied.
- Faculty
- Faculté des sciences et de médecine
- Department
- Département de Physique
- Language
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- English
- Classification
- Physics
- License
- License undefined
- Identifiers
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- RERO DOC 12289
- DOI 10.1016/j.physa.2008.06.027
- Persistent URL
- https://folia.unifr.ch/unifr/documents/301301
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