dorsal/arxiv
View SchemaMarket Mill Dependence Pattern in the Stock Market: Individual Portraits
| Authors | Andrei Leonidov, Vladimir Trainin, Alexander Zaitsev, Sergey Zaitsev |
|---|---|
| Categories | |
| ArXiv ID | physics/0605138 |
| URL | https://arxiv.org/abs/physics/0605138 |
Abstract
This paper continues a series of studies of dependence patterns following from properties of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response). The paper focuses on individual differences of the P(x,y) for 2000 stocks using a methodology of identification of asymmetric market mill patterns developed in [1,2]. We show that individual asymmetry patterns (portraits) are remarkably stable over time and can be classified into three major groups - correlation, anticorrelation and market mill. We analyze the conditional dynamics resulting from the properties of P(x,y) for all groups and demonstrate that it is trend-following at small push magnitudes and contrarian at large ones
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"abstract": "This paper continues a series of studies of dependence patterns following\nfrom properties of the bivariate probability distribution P(x,y) of two\nconsecutive price increments x (push) and y (response). The paper focuses on\nindividual differences of the P(x,y) for 2000 stocks using a methodology of\nidentification of asymmetric market mill patterns developed in [1,2]. We show\nthat individual asymmetry patterns (portraits) are remarkably stable over time\nand can be classified into three major groups - correlation, anticorrelation\nand market mill. We analyze the conditional dynamics resulting from the\nproperties of P(x,y) for all groups and demonstrate that it is trend-following\nat small push magnitudes and contrarian at large ones",
"arxiv_id": "physics/0605138",
"authors": [
"Andrei Leonidov",
"Vladimir Trainin",
"Alexander Zaitsev",
"Sergey Zaitsev"
],
"categories": [
"physics.soc-ph"
],
"title": "Market Mill Dependence Pattern in the Stock Market: Individual Portraits",
"url": "https://arxiv.org/abs/physics/0605138"
},
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