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

Author

Listed:
  • V. Alfi
  • A. De Martino
  • L. Pietronero
  • A. Tedeschi

Abstract

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.

Suggested Citation

  • V. Alfi & A. De Martino & L. Pietronero & A. Tedeschi, 2006. "Detecting the traders' strategies in Minority-Majority games and real stock-prices," Papers physics/0609038, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0609038
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    File URL: http://arxiv.org/pdf/physics/0609038
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    Cited by:

    1. Alessio Emanuele Biondo, 2019. "Order book modeling and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 469-489, September.

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