dorsal/arxiv
View SchemaMarket Mill Dependence Pattern in the Stock Market: Modeling of Predictability and Asymmetry via Multi-Component Conditional Distribution
| Authors | Andrei Leonidov, Vladimir Trainin, Alexander Zatsev, Sergey Zaitsev |
|---|---|
| Categories | |
| ArXiv ID | physics/0701158 |
| URL | https://arxiv.org/abs/physics/0701158 |
| DOI | 10.1016/j.physa.2007.07.062 |
Abstract
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the bivariate probability distribution P(x,y) [1,2,3,4]. There are two properties, the market mill asymmetries of P(x,y) and predictability due to nonzero z-shaped mean conditional response, that are of special importance. Main goal of the present paper is to put together a model reproducing both the z-shaped mean conditional response and the market mill asymmetry of P(x,y) with respect to the axis y=0. We develop a probabilistic model based on a multi-component ansatz for conditional distribution P(y|x) with push-dependent weights and means describing both properties. A relationship between the market mill asymmetry and predictability is discussed. A possible connection of the model to agent-based picture is outlined.
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"abstract": "Recent studies have revealed a number of striking dependence patterns in high\nfrequency stock price dynamics characterizing probabilistic interrelation\nbetween two consequent price increments x (push) and y (response) as described\nby the bivariate probability distribution P(x,y) [1,2,3,4]. There are two\nproperties, the market mill asymmetries of P(x,y) and predictability due to\nnonzero z-shaped mean conditional response, that are of special importance.\nMain goal of the present paper is to put together a model reproducing both the\nz-shaped mean conditional response and the market mill asymmetry of P(x,y) with\nrespect to the axis y=0. We develop a probabilistic model based on a\nmulti-component ansatz for conditional distribution P(y|x) with push-dependent\nweights and means describing both properties. A relationship between the market\nmill asymmetry and predictability is discussed. A possible connection of the\nmodel to agent-based picture is outlined.",
"arxiv_id": "physics/0701158",
"authors": [
"Andrei Leonidov",
"Vladimir Trainin",
"Alexander Zatsev",
"Sergey Zaitsev"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.07.062",
"title": "Market Mill Dependence Pattern in the Stock Market: Modeling of Predictability and Asymmetry via Multi-Component Conditional Distribution",
"url": "https://arxiv.org/abs/physics/0701158"
},
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