Market Crowd Trading Conditioning, Agreement Price, and Volume Implications

Shi, Leilei; Han, Bing; Zhu, Yingzi; Han, Liyan; Wang, Yiwen; Piao, Yan

doi:10.2139/ssrn.2003745

Cited by 2 publications

(2 citation statements)

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“…The differential equation comes from a critical, logical and consistent derivation. Subsequently, the equation has extended to be a behavioral financial equation (Shi et al ., 2013) in intraday dynamic market equilibrium (Shi et al ., 2021). It is a new research route and method used to study the traders' behavior and market fluctuation by cumulative trading volume distribution over price in a unified framework.…”

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

confidence: 99%

“…For example, Shi (2006) examines the price-volume probability wave behavior using a cross-section of the first 30 individual stocks over a month in the Shanghai 180 Index at the Shanghai Stock Exchange in the Chinese stock market. Others interpret the behavioral implications of intraday cumulative trading volume distributions over price by the tick-by-tick high-frequency trading data of Huaxia SSE 50ETF (510,050) in the Shanghai Stock Exchange (Shi et al, 2011(Shi et al, , 2013. The data ranges from April 2, 2007, to April 10, 2009, during which the Chinese stock market experienced bubble growth, burst and shrink until a reversal in a complete cycle.…”

Section: Existence Of Intraday Dynamic Market Equilibrium By Empirica...mentioning

confidence: 99%

See 1 more Smart Citation

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

confidence: 99%