A price dynamic equilibrium model with trading volume weights based on a price-volume probability wave differential equation

Shi, Leilei; Wang, Bing–Hong; Guo, Xiao; Li, Honggang

doi:10.1016/j.irfa.2020.101603

Cited by 4 publications

(9 citation statements)

References 46 publications

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“…There are two sets of explicit solutions or models in equation (17) if we select a linear form reversal trading utility (Shi et al ., 2021). One is a set of analytical solutions for dynamic market equilibrium subject to interactive coherence.…”

Section: The Volume-price Probability Wave Differential Equation and ...mentioning

confidence: 99%

“…3. The price momentum and reversal in finance are equivalent to the momentum and reversal trading (operant) in behavior analysis (Shi et al ., 2021). …”

Section: Notesmentioning

confidence: 99%

“…In solving the volume-price probability wave differential equation, we understand that the interactive coherence by equation (2) is necessary and sufficient for dynamic market equilibrium. The analytical solution is a set of zero-order Bessel eigenfunctions in dynamic market equilibrium (Shi et al ., 2021). The square of the eigenfunctions, equation (1), is cumulative trading volume distribution over price.…”

Section: Preferences Interactive Coherence and Intraday Dynamic Marke...mentioning

confidence: 99%

“…However, there is exceptional to the definition above for the market equilibrium (Shi et al ., 2021). The intraday market is dynamic equilibrium if the market price repeatedly goes away from an equilibrium price in momentum and back to it in reversals, the number of the tick-by-tick trading shares count at each trading price, and a cumulative trading volume distribution gradually formulates over a price range in the intraday trading.…”

Section: Introductionmentioning

confidence: 99%

“…The strongest positive correlation in behavior occurs during price reversals when many investors are more likely to sell their risky assets in a panic” (Elkind et al ., 2022). Currently, Shi et al . (2021)have applied the differential equation to examine the existence of intraday dynamic market equilibrium using tick-by-tick high-frequency data from the Shanghai Securities Exchange in the Chinese stock markets in which intraday momentum, reversal and interaction exist widely.…”

Section: Introductionmentioning

confidence: 99%

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The underlying coherent behavior in intraday dynamic market equilibrium

Shi

Guo

Fenu

et al. 2023

CFRI

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PurposeThis paper applies a volume-price probability wave differential equation to propose a conceptual theory and has innovative behavioral interpretations of intraday dynamic market equilibrium price, in which traders' momentum, reversal and interactive behaviors play roles.Design/methodology/approachThe authors select intraday cumulative trading volume distribution over price as revealed preferences. An equilibrium price is a price at which the corresponding cumulative trading volume achieves the maximum value. Based on the existence of the equilibrium in social finance, the authors propose a testable interacting traders' preference hypothesis without imposing the invariance criterion of rational choices. Interactively coherent preferences signify the choices subject to interactive invariance over price.FindingsThe authors find that interactive trading choices generate a constant frequency over price and intraday dynamic market equilibrium in a tug-of-war between momentum and reversal traders. The authors explain the market equilibrium through interactive, momentum and reversal traders. The intelligent interactive trading preferences are coherent and account for local dynamic market equilibrium, holistic dynamic market disequilibrium and the nonlinear and non-monotone V-shaped probability of selling over profit (BH curves).Research limitations/implicationsThe authors will understand investors' behaviors and dynamic markets through more empirical execution in the future, suggesting a unified theory available in social finance.Practical implicationsThe authors can apply the subjects' intelligent behaviors to artificial intelligence (AI), deep learning and financial technology.Social implicationsUnderstanding the behavior of interacting individuals or units will help social risk management beyond the frontiers of the financial market, such as governance in an organization, social violence in a country and COVID-19 pandemics worldwide.Originality/valueIt uncovers subjects' intelligent interactively trading behaviors.

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Section: The Volume-price Probability Wave Differential Equation and ...mentioning

confidence: 99%

“…3. The price momentum and reversal in finance are equivalent to the momentum and reversal trading (operant) in behavior analysis (Shi et al ., 2021). …”

Section: Notesmentioning

confidence: 99%

Section: Preferences Interactive Coherence and Intraday Dynamic Marke...mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

The underlying coherent behavior in intraday dynamic market equilibrium

Shi

Guo

Fenu

et al. 2023

CFRI

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Network Complexity and Financial Behavior - Volume-Price Distribution in Financial Market

Shi

Wang

2021

SSRN Journal

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Media-based information display in university libraries based on a generalized differential equation numerical method

Li,

Zhang

2023

Applied Mathematics and Nonlinear Sciences

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To solve the problems of time lag and high repetition rate of information released in the media-oriented information display of college libraries, this paper improves the media-oriented information display platform based on the numerical method of generalized differential equations. The intervals of the generalized differential equations solutions for the media-oriented information display of college libraries are discretized using a grid to obtain sub-intervals. The points on the grid for each subinterval are approximated continuously using the K-step edge-value method to obtain the information dissemination cycle solution. The bifurcated periodic solution is used to check the obtained information release period solution, and the final information update period is 7 days. The results of improving the media-based information display platform of university libraries and putting it into operation of university libraries show that: Using the information update cycle determined by the generalized differential function to improve the media-based information display platform of university libraries, the repetition rate of language information release decreases from 30% to 10%. The working hours of librarians were reduced from 5 hours per week to 3.5 hours per week. It can be seen that after improving the media-based information display platform of university libraries based on the numerical method of a generalized differential equation, the repetition rate of information release and the work efficiency of librarians of the platform is improved.

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A price dynamic equilibrium model with trading volume weights based on a price-volume probability wave differential equation

Cited by 4 publications

References 46 publications

The underlying coherent behavior in intraday dynamic market equilibrium

The underlying coherent behavior in intraday dynamic market equilibrium

Network Complexity and Financial Behavior - Volume-Price Distribution in Financial Market

Media-based information display in university libraries based on a generalized differential equation numerical method

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