On possible origins of trends in financial market price changes
arXiv:1406.5276 · doi:10.1016/j.physa.2014.11.021
Abstract
We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One is that the trend of monotonic increase and decrease can be generated by dealers' minuscule change in mood, which corresponds to the possible fundamentals. The other is that the emergence of trends is all but inevitable in the realistic situation because of the fact that dealers cannot always obtain accurate information about deals, even if there is no influence from fundamentals and technical analyses.
arXiv comment23 pages, 9 figures
References in corpus (6)
- Predictability of Currency Market Exchange
- Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics
- Solvable Stochastic Dealer Models for Financial Markets
- An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics
- Characterization of foreign exchange market using the threshold-dealer-model
- Stock price fluctuations and the mimetic behaviors of traders