The price dynamics of common trading strategies

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dc.creatorFarmer, J. Doyne
dc.creatorJoshi, Shareen
dc.date2000-12-21
dc.date.accessioned2026-07-07T12:06:31Z
dc.date.available2026-07-07T12:06:31Z
dc.descriptionA deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price formation to study the price dynamics induced by several commonly used financial trading strategies, showing how they amplify noise, induce structure in prices, and cause phenomena such as excess and clustered volatility.
dc.description29 pages, 12 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0012419
dc.identifierhttp://arxiv.org/abs/cond-mat/0012419
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208675
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleThe price dynamics of common trading strategies
dc.typetext

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