Add to ORKGA 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
Abstract: The paper highlights the role that speculation plays in making stock price fluctuation cha...
Extant empirical research has reported nonlinear behavior within arbitrage relationships. In this ar...
In the first part of this thesis, I address the classical problem of asset price dynamics based on a...
A deterministic trading strategy can be regarded as a signal processing element that uses external...
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult t...
In financial markets, an excess of buying tends to drive prices up, and an excess of selling tends ...
This paper deals with speculative trading. Guided by empirical observations, a nonlinear determinist...
The paper proposes a simple asset pricing model with three groups of traders: chartists who believe ...
The existence of stylized facts suggests that there might be `universal' mechanism which drives pric...
Based on the December 2010 conference on market microstructure, organized with the help of the Insti...
What is the nature of the price formation process? This thesis’ project uses an ontological approach...
Extant empirical research has reported nonlinear behavior within arbitrage relationships. In this ar...
We seek to develop a novel asset pricing model with heterogeneous traders. Fundamen-tal traders expe...
Thesis: S.M., Massachusetts Institute of Technology, Department of Electrical Engineering and Comput...
In this paper we analyse and show how price discovery process influence the volatility of stocks. Us...
Abstract: The paper highlights the role that speculation plays in making stock price fluctuation cha...
Extant empirical research has reported nonlinear behavior within arbitrage relationships. In this ar...
In the first part of this thesis, I address the classical problem of asset price dynamics based on a...
A deterministic trading strategy can be regarded as a signal processing element that uses external...
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult t...
In financial markets, an excess of buying tends to drive prices up, and an excess of selling tends ...
This paper deals with speculative trading. Guided by empirical observations, a nonlinear determinist...
The paper proposes a simple asset pricing model with three groups of traders: chartists who believe ...
The existence of stylized facts suggests that there might be `universal' mechanism which drives pric...
Based on the December 2010 conference on market microstructure, organized with the help of the Insti...
What is the nature of the price formation process? This thesis’ project uses an ontological approach...
Extant empirical research has reported nonlinear behavior within arbitrage relationships. In this ar...
We seek to develop a novel asset pricing model with heterogeneous traders. Fundamen-tal traders expe...
Thesis: S.M., Massachusetts Institute of Technology, Department of Electrical Engineering and Comput...
In this paper we analyse and show how price discovery process influence the volatility of stocks. Us...
Abstract: The paper highlights the role that speculation plays in making stock price fluctuation cha...
Extant empirical research has reported nonlinear behavior within arbitrage relationships. In this ar...
In the first part of this thesis, I address the classical problem of asset price dynamics based on a...