The price dynamics of common trading strategies
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 us...
| Main Authors: | , |
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| Format: | Journal article |
| Published: |
2000
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| _version_ | 1797080385390116864 |
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| author | Farmer, J Joshi, S |
| author_facet | Farmer, J Joshi, S |
| author_sort | Farmer, J |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-07T00:59:16Z |
| format | Journal article |
| id | oxford-uuid:8927caa6-fbd1-4168-b8df-67f0385b6a7d |
| institution | University of Oxford |
| last_indexed | 2024-03-07T00:59:16Z |
| publishDate | 2000 |
| record_format | dspace |
| spelling | oxford-uuid:8927caa6-fbd1-4168-b8df-67f0385b6a7d2022-03-26T22:22:30ZThe price dynamics of common trading strategiesJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:8927caa6-fbd1-4168-b8df-67f0385b6a7dSymplectic Elements at Oxford2000Farmer, JJoshi, SA 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. |
| spellingShingle | Farmer, J Joshi, S The price dynamics of common trading strategies |
| title | The price dynamics of common trading strategies |
| title_full | The price dynamics of common trading strategies |
| title_fullStr | The price dynamics of common trading strategies |
| title_full_unstemmed | The price dynamics of common trading strategies |
| title_short | The price dynamics of common trading strategies |
| title_sort | price dynamics of common trading strategies |
| work_keys_str_mv | AT farmerj thepricedynamicsofcommontradingstrategies AT joshis thepricedynamicsofcommontradingstrategies AT farmerj pricedynamicsofcommontradingstrategies AT joshis pricedynamicsofcommontradingstrategies |