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 $1/f$ 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