Detecting the traders' strategies in Minority-Majority games and real stock-prices

Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of reconstructing the prevailing traders' strategies in a given time interval. Then we also analyze real (NYSE) stock-prices dynamics and it is possible to derive an indication for the the ``sentiment'' of the market for time intervals of at least one day.Comment: 13 pages, 10 figure

Mechanisms of Self-Organization and Finite Size Effects in a Minimal Agent Based Model

We present a detailed analysis of the self-organization phenomenon in which the stylized facts originate from finite size effects with respect to the number of agents considered and disappear in the limit of an infinite population. By introducing the possibility that agents can enter or leave the market depending on the behavior of the price, it is possible to show that the system self-organizes in a regime with a finite number of agents which corresponds to the stylized facts. The mechanism to enter or leave the market is based on the idea that a too stable market is unappealing for traders while the presence of price movements attracts agents to enter and speculate on the market. We show that this mechanism is also compatible with the idea that agents are scared by a noisy and risky market at shorter time scales. We also show that the mechanism for self-organization is robust with respect to variations of the exit/entry rules and that the attempt to trigger the system to self-organize in a region without stylized facts leads to an unrealistic dynamics. We study the self-organization in a specific agent based model but we believe that the basic ideas should be of general validity.Comment: 14 pages, 7 figure

Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations

We consider the roughness properties of NYSE (New York Stock Exchange) stock-price fluctuations. The statistical properties of the data are relatively homogeneous within the same day but the large jumps between different days prevent the extension of the analysis to large times. This leads to intrinsic finite size effects which alter the apparent Hurst (H) exponent. We show, by analytical methods, that finite size effects always lead to an enhancement of H. We then consider the effect of fat tails on the analysis of the roughness and show that the finite size effects are strongly enhanced by the fat tails. The non stationarity of the stock price dynamics also enhances the finite size effects which, in principle, can become important even in the asymptotic regime. We then compute the Hurst exponent for a set of stocks of the NYSE and argue that the interpretation of the value of H is highly ambiguous in view of the above results. Finally we propose an alternative determination of the roughness in terms of the fluctuations from moving averages with variable characteristic times. This permits to eliminate most of the previous problems and to characterize the roughness in useful way. In particular this approach corresponds to the automatic elimination of trends at any scale.Comment: 13 pages, 11 fugure

Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics

We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the Stylized Facts and their Self-Organization. The key elements are fundamentalist agents, chartist agents, herding dynamics and price behavior. The first two elements correspond to the competition between stability and instability tendencies in the market. The herding behavior governs the possibility of the agents to change strategy and it is a crucial element of this class of models. The linear approximation permits a simple interpretation of the model dynamics and, for many properties, it is possible to derive analytical results. The generalized non linear dynamics results to be extremely more sensible to the parameter space and much more difficult to analyze and control. The main results for the nature and Self-Organization of the Stylized Facts are, however, very similar in the two cases. The main peculiarity of the non linear dynamics is an enhancement of the fluctuations and a more marked evidence of the Stylized Facts. We will also discuss some modifications of the model to introduce more realistic elements with respect to the real markets

Minimal Agent Based Model for Financial Markets I: Origin and Self-Organization of Stylized Facts

We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main most important deviations of price time series from a Random Walk behavior. We focus on four essential ingredients: fundamentalist agents which tend to stabilize the market; chartist agents which induce destabilization; analysis of price behavior for the two strategies; herding behavior which governs the possibility of changing strategy. Bubbles and crashes correspond to situations dominated by chartists, while fundamentalists provide a long time stability (on average). The Stylized Facts are shown to correspond to an intermittent behavior which occurs only for a finite value of the number of agents N. Therefore they correspond to finite size effect which, however, can occur at different time scales. We propose a new mechanism for the Self-Organization of this state which is linked to the existence of a threshold for the agents to be active or not active. The feedback between price fluctuations and number of active agents represent a crucial element for this state of Self-Organized-Intermittency. The model can be easily generalized to consider more realistic variants

Exact Results for the Roughness of a Finite Size Random Walk

We consider the role of finite size effects on the value of the effective Hurst exponent H. This problem is motivated by the properties of the high frequency daily stock-prices. For a finite size random walk we derive some exact results based on Spitzer's identity. The conclusion is that finite size effects strongly enhance the value of H and the convergency to the asymptotic value (H=1/2) is rather slow. This result has a series of conceptual and practical implication which we discuss.Comment: 5 pages, 3 figure

Pengaruh Arus Terhadap Sebaran Material Padatan Tersuspensi Di Pantai Sigandu, Kabupaten Batang

Pantai Sigandu terletak di Kabupaten Batang, Propinsi Jawa Tengah merupakan daerah yang mulai berkembang dengan aktifitas industri dan wisata disamping kegiatan nelayan. Kegiatan ini tentunya akan berdampak negatif terhadap kondisi perairan. Salah satunya adalah semakin meningkatnya konsentrasi padatan tersuspensi di perairan wilayah tersebut. Sebaran MPT di perairan laut sangat di pengaruhi oleh arus dan sumber MPT itu sendiri. Kandungan MPT yang tinggi akan sangat mengganggu produktivitas perairan. Berkaitan dengan hal tersebut perlu dikaji hubungan antara keadaan hidrooseanografi dan sebaran material padatan tersuspensi agar pola sebaran MPT dapat diketahui dan dianalisa secara tepat. Tujuan dari penelitian ini adalah untuk mengetahui pengaruh arus laut terhadap sebaran MPT di perairan Pantai Sigandu, Kabupaten Batang. Penelitian ini dilakukan 2 tahap, pengukuran lapangan dan proses pemodelan hidrodinamika 2D. Pengukuran lapangan yang meliputi pengukuran dan pengambilan data pasang surut, data sampel air, dan data arus pada tanggal 4 Mei - 7 Mei 2012, sedangkan pemodelan yang dilaksanakan di Laboratorium Komputasi Jurusan Ilmu Kelautan pada bulan Juli – Agustus 2012. Berdasarkan hasil penelitian diketahui pola sebaran MPT berbeda pada setiap lapisan kedalaman. Konsentrasi MPT pada lapisan 0,2 D berkisar antara 27 mg/l – 127 mg/l. Sedangkan pada lapisan kedalaman 0,6 D, nilai konsentrasi MPT cukup bervariasi sekitar 43 mg/l – 147 mg/l. Pada lapisan 0,8 D mempunyai nilai konsentrasi MPT sekitar 47 mg/l - 157 mg/l. Pada setiap lapisan kedalaman nilai konsentrasi MPT di daerah dekat pantai cenderung tersebar menyusur pantai dan relatif lebih tinggi dengan kedalaman yang dangkal. Hasil penelitian menunjukkan bahwa arus mempengaruhi pola sebaran MPT, tetapi penurunan konsentrasi MPT banyak dipengaruhi oleh letak stasiun. Tingginya nilai konsentrasi MPT di lapisan dasar dibandingkan di permukaan karena adanya resuspensi sedimen dan pergerakkan arus di lapisan dasar. Sedangkan besarnya MPT di muara sungai karena adanya penumpukkan material padatan yang disebabkan oleh pergerakkan arus dan pengaruh pasang surut

Liquidity Crisis, Granularity of the Order Book and Price Fluctuations

We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity $g$) as a proxy for liquidity. This leads to a Price Impact Surface which depends on both volume $\omega$ and $g$. The dependence on the volume (averaged over the granularity) of the Price Impact Surface is found to be a concave power law function $_g\sim\omega^\delta$ with $\delta\approx 0.59$. Instead the dependence on the granularity is $\phi(\omega,g|\omega)\sim g^\alpha$ with $\alpha\approx-1$, showing a divergence of price fluctuations in the limit $g\to 0$. Moreover, even in intermediate situations of finite liquidity, this effect can be very large and it is a natural candidate for understanding the origin of large price fluctuations.Comment: 18 pages, 7 figure

Poor sleep quality may independently predict suicidal risk in COVID-19 survivors: a 2-year longitudinal study

Objective: Multiple symptoms of psychiatric, neurological, and physical illnesses may be part of Post-COVID conditions and may pose COVID-19 survivors a high suicidal risk. Accordingly, we aimed to study factors contributing to suicidal risk in Post COVID-19 patients. Method: Consecutive patients with post COVID-19 conditions were followed for 2 years at the University Hospital of Ferrara at baseline (T0), 6 (T1), 12 (T2), and 24 (T3) months. Demographics, and clinical data for all patients included: disease severity, hospital length of stay, comorbidity, clinical complications, sleep quality, cognitive complaints, anxiety and stress-related symptoms, depressive symptoms, and suicidal ideation. Results: The final sample included 81 patients with post COVID survivors. The mean age was 64 + 10,6 years, 35,8% were females, 65,4% had medical comorbidities, and 69,1% had WHO severe form of COVID forms. At T0 more than 90% of patients showed poor sleep quality, 59.3% reported moderate/severe depressive symptoms, and 51.% experienced anxiety, 25.9% experienced post-traumatic stress symptoms. At T0 suicidal ideation, interested 6.1% and at T3 it increased to 7.4%. In the regression analysis, suicidal ideation at baseline was best predicted by poor sleep quality (O.R. 1.71, p=0.044) and, after 2 years, suicidal ideation was best predicted by poor sleep quality experienced at baseline (OR 67.3, p=0.001). Conclusions: Poor sleep quality may play as an independent predictor of suicidal risk in post-COVID survivors. Evaluating and targeting sleep disturbances in COVID survivors is important to prevent the consequences of disrupted sleep in mental health

Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement

We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in the framework of a microscopic model and, by introducing a non-uniform deposition mechanism for limit orders, we are able to quantitatively reproduce the asymmetry found in the experimental data. Simulations of our model also show a realistic dynamics with a sort of intermittent behavior characterized by long periods in which the order book is compact and liquid interrupted by volatile configurations. The order placement strategies produce a non-trivial behavior of the spread relaxation dynamics which is similar to the one observed in real markets.Comment: 18 pages, 12 figure