Journal article

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
    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
Department
Physique
Language
  • English
Classification
Physics
License
License undefined
Identifiers
Persistent URL
https://folia.unifr.ch/unifr/documents/301301
Statistics

Document views: 11 File downloads:
  • zhang_tnn.pdf: 2