dorsal/arxiv
View SchemaDetecting the traders' strategies in Minority-Majority games and real stock-prices
| Authors | V. Alfi, A. De Martino, L. Pietronero, A. Tedeschi |
|---|---|
| Categories | |
| ArXiv ID | physics/0609038 |
| URL | https://arxiv.org/abs/physics/0609038 |
| DOI | 10.1016/j.physa.2007.02.081 |
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 the ``sentiment'' of the market for time intervals of at least one day.
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"abstract": "Price dynamics is analyzed in terms of a model which includes the possibility\nof effective forces due to trend followers or trend adverse strategies. The\nmethod is tested on the data of a minority-majority model and indeed it is\ncapable of reconstructing the prevailing traders\u0027 strategies in a given time\ninterval. Then we also analyze real (NYSE) stock-prices dynamics and it is\npossible to derive an indication for the the ``sentiment\u0027\u0027 of the market for\ntime intervals of at least one day.",
"arxiv_id": "physics/0609038",
"authors": [
"V. Alfi",
"A. De Martino",
"L. Pietronero",
"A. Tedeschi"
],
"categories": [
"physics.soc-ph",
"q-fin.TR"
],
"doi": "10.1016/j.physa.2007.02.081",
"title": "Detecting the traders\u0027 strategies in Minority-Majority games and real stock-prices",
"url": "https://arxiv.org/abs/physics/0609038"
},
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