273 research outputs found
Traders' strategy with price feedbacks in financial market
We introduce an autoregressive-type model of prices in financial market
taking into account the self-modulation effect. We find that traders are mainly
using strategies with weighted feedbacks of past prices. These feedbacks are
responsible for the slow diffusion in short times, apparent trends and power
law distribution of price changes.Comment: 4 pages, 5 figures, submitted to Physica
Origin of Critical Behavior in Ethernet Traffic
We perform a simplified Ethernet traffic simulation in order to clarify the
physical mechanism of the phase transition behavior which has been
experimentally observed in the flow density fluctuation of Internet traffic. In
one phase traffics from nodes connected with an Ethernet cable are mixed, and
in the other phase, the nodes alternately send bursts of packets. The
competition of sending packets among nodes and the binary exponential back-off
algorithm are revealed to play important roles in producing fluctuations
at the critical point.Comment: 14 pages, 9 figures. To appear physica
Analysis of price diffusion in financial markets using PUCK model
Based on the new type of random walk process called the Potentials of
Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price
diffusion in large scales is amplified 2/(2 + b) times, where b is the
coefficient of quadratic term of the potential. In short time scales the price
diffusion depends on the size M of the super moving average. Both numerical
simulations and real data analysis of Yen-Dollar rates are consistent with
theoretical analysis.Comment: 8 pages, 4 figures, Proceedings of APFA
Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations
We introduce a novel description of the dynamics of the order book of
financial markets as that of an effective colloidal Brownian particle embedded
in fluid particles. The analysis of a comprehensive market data enables us to
identify all motions of the fluid particles. Correlations between the motions
of the Brownian particle and its surrounding fluid particles reflect specific
layering interactions; in the inner-layer, the correlation is strong and with
short memory while, in the outer-layer, it is weaker and with long memory. By
interpreting and estimating the contribution from the outer-layer as a drag
resistance, we demonstrate the validity of the fluctuation-dissipation relation
(FDR) in this non-material Brownian motion process
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