Market Mill Dependence Pattern in the Stock Market: Individual Portraits

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dc.creatorLeonidov, Andrei
dc.creatorTrainin, Vladimir
dc.creatorZaitsev, Alexander
dc.creatorZaitsev, Sergey
dc.date2006-05-16
dc.date.accessioned2026-07-07T07:15:02Z
dc.date.available2026-07-07T07:15:02Z
dc.descriptionThis 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
dc.description21 pages, 10 EPS figures, 4 PNG figures
dc.identifierhttps://arxiv.org/abs/physics/0605138
dc.identifierhttp://arxiv.org/abs/physics/0605138
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/113120
dc.subjectPhysics and Society
dc.titleMarket Mill Dependence Pattern in the Stock Market: Individual Portraits
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