The price dynamics of common trading strategies

被引：255

作者：

Farmer, JD

Joshi, S

机构：

[1] Santa Fe Inst, Santa Fe, NM 87501 USA

[2] Yale Univ, Dept Econ, New Haven, CT 06520 USA

来源：

JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION | 2002年 / 49卷 / 02期

关键词：

price dynamics; trading strategy; value investors;

D O I：

10.1016/S0167-2681(02)00065-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price formation to study the price dynamics induced by several commonly used financial trading strategies, showing how they amplify noise, induce structure in prices, and cause phenomena such as excess and clustered volatility. (C) 2002 Published by Elsevier Science B.V.

引用

页码：149 / 171

页数：23

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