Archivio Istituzionale della RicercaPrice 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 "sentiment" of the market for time intervals of at least one day. © 2007 Elsevier B.V. All rights reserved.
Detecting the traders' strategies in minority-majority games and real stock-prices / Alfi, V.; De Martino, A.; Pietronero, L.; Tedeschi, A.. - In: PHYSICA. A. - ISSN 0378-4371. - 382:1(2007), pp. 1-8. [10.1016/j.physa.2007.02.081]
Detecting the traders' strategies in minority-majority games and real stock-prices
De Martino A.;
2007
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 "sentiment" of the market for time intervals of at least one day. © 2007 Elsevier B.V. All rights reserved.
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https://hdl.handle.net/11583/2976727