A reflexive toy-model for financial market (Articolo in rivista)

Type
Label
  • A reflexive toy-model for financial market (Articolo in rivista) (literal)
Anno
  • 2010-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1016/j.physa.2009.09.037 (literal)
Alternative label
  • Palatella, Luigi (2010)
    A reflexive toy-model for financial market
    in Physica. A (Print)
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • Palatella, Luigi (literal)
Pagina inizio
  • 315 (literal)
Pagina fine
  • 322 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 389 (literal)
Rivista
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#pagineTotali
  • 8 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo
  • 2 (literal)
Note
  • ISI Web of Science (WOS) (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • Consiglio Nazionale delle Ricerche (CNR) (literal)
Titolo
  • A reflexive toy-model for financial market (literal)
Abstract
  • We propose a reflexive toy model for market dynamics, based on the idea that existing reflexive loops are generated by the conviction, shared by many market operators, that a certain price follows a certain model. Their trading behaviour will therefore increase the probability that the model predictions are in fact fulfilled. We analytically write the equations generating a reflexive loop stemming from a simple linear regression model, and we show that the resulting toy model yields a peculiar intermittent behavior. The presence of two unstable fixed points is apparent from our numerical calculation and the residence time distribution density in these points asymptotically follows an inverse-power-law tail. The exponent of this tail, as well as the scaling properties of the model output, are close to those stemming from real-price time series. (C) 2009 Elsevier B.V. All rights reserved. (literal)
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