Detecting the traders' strategies in minority-majority games and real stock-prices

被引：19

作者：

Alfi, V.

De Martino, A.

Pietronero, L.

Tedeschi, A.

机构：

[1] Univ Roma La Sapienza, Dip Fis, I-00185 Rome, Italy

[2] Univ Rome Tre, Dip Fis, I-00146 Rome, Italy

[3] CNR, Ist Sistemi Complessi, I-00185 Rome, Italy

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 382卷 / 01期

关键词：

complex systems; time series analysis; financial data; economic systems;

D O I：

10.1016/j.physa.2007.02.081

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：1 / 8

页数：8

共 9 条

[1] Hidden forces and fluctuations from moving averages: A test study [J].