Potential force observed in market dynamics

Takayasu, Misako; Mizuno, Takayuki; Takayasu, Hideki

doi:10.1016/j.physa.2006.04.041

Cited by 63 publications

(66 citation statements)

References 4 publications

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“…In our model we can overcome this complication by simplifying the chartists' behavior. In fact, the description of chartists is in term of the recently introduced potential method [17,18,19,20]. Chartist agents detect a trend by looking at the distance between the price and its smoothed profile which in our case is the moving average computed on the previous M time steps.…”

Section: Definition Of a Minimal Abm With Fundamentalists And Chartistsmentioning

confidence: 99%

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Minimal agent based model for financial markets I

et al. 2009

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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 SelfOrganized-Intermittency. The model can be easily generalized to consider more realistic variants.

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Section: Definition Of a Minimal Abm With Fundamentalists And Chartistsmentioning

confidence: 99%

“…The factor M − 1 in the denominator of the force term makes the potential independent of the particular choice of the moving average [17]. This equation has been used in previous papers to analyze real data [17,19,20].…”

Section: Definition Of a Minimal Abm With Fundamentalists And Chartistsmentioning

confidence: 99%

Minimal agent based model for financial markets I

et al. 2009

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“…The BGUM is first introduced in the econophysics field to obtain the estimates of stability parameter in the PUCK model [11]. PUCK model is an economics model derived from physical model.…”

Section: Construction Of Systemmentioning

confidence: 99%

Fast and stable estimation of macroscopic parameters in particle systems by data assimilation

Nakamura

Kono

2016

Stochastic Systems Theory and its Applications (SSS)

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In this paper we show a data assimilation framework which gives good estimation of the macroscopic parameter in particle systems. To give the fast and stable estimation, we employed the bounded Gaussian uniform mixture (BGUM) type dynamics that is originally introduced in the econophysics field. The result of the numerical experiment implies that BGUM type dynamics enable us to obtain appropriate estimation of macroscopic parameters from macroscopic observations faster than random walk type dynamics that is usually employed. It is also implied that mixing rate between Gaussian and uniform distribution can control the trade-off between fast detection and stability of macroscopic parameters. Those results suggest that the utility of the introduced framework for macroscopic parameter estimation in particle systems.

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“…This induces complex long range correlations which cannot be determined by the usual correlation functions and that can be explored by this new approach [6,7]. The basic ansatz is that price dynamics P (t) can be described in terms of a stochastic equation of type:…”

Section: The Effective Potential Modelmentioning

confidence: 99%

Hidden forces and fluctuations from moving averages: A test study

Alfi

Coccetti

Marotta³

et al. 2006

Physica A: Statistical Mechanics and its Applications

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The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency of the price dynamics to be attractive or repulsive with respect to its own moving average. We consider a number of tests for various models which clarify the advantages and limitations of this new approach. The analysis leads to the identification of an effective potential with respect to the moving average. Its specific implementation requires a detailed consideration of various effects which can alter the statistical methods used. However, the study of various model systems shows that this approach is indeed suitable to detect hidden forces in the market which go beyond usual correlations and volatility clustering.

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Potential force observed in market dynamics

Cited by 63 publications

References 4 publications

Minimal agent based model for financial markets I

Minimal agent based model for financial markets I

Fast and stable estimation of macroscopic parameters in particle systems by data assimilation

Hidden forces and fluctuations from moving averages: A test study

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