Using trading strategies to detect phase transitions in financial markets

Financial Market Crashes: Phase transition model and critical

 

using trading strategies to detect phase transitions in financial markets

Jul 05,  · Financial Market Crashes: Phase transition model and critical The different phases of a system may be represented using a phase diagram (Figure 1). The Triple Point is the combination of temperature and pressure that permits the co-existence of the three phases in dynamic equilibrium. A phase transition. For high market impact, under-confidence in a particular asset makes an investor over-sensitive to losses and one's too frequent strategy adjustment leads to a large fluctuation in asset prices, and thereafter, a decrease in the number of agents. At an intermediate market impact, the phase transition Cited by: 4. This removes the chance of being adversely affected by large moves overnight. Day trading strategies are usually the perfect forex trading strategies for beginners. Trades may last only a few hours, and price bars on charts might typically be set to one or two minutes. The pips a day forex strategy is a good example of a day trading tartangosa.tk: Ifrad Tajik.


Bubbles and crashes: theory - empirical analyses – Chair of Entrepreneurial Risks | ETH Zurich


By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there exists another investment opportunity, market confidence, including overconfidence and under-confidence, using trading strategies to detect phase transitions in financial markets, is not always good or bad for investment. The roles of market confidence is closely related to market impact.

For low market impact, overconfidence in a particular asset makes an investor become insensitive to losses and a delayed strategy adjustment leads to a decline in wealth, and thereafter, one's runaway from the market. For high market impact, under-confidence in a particular asset makes an investor over-sensitive to losses and one's too frequent strategy adjustment leads to a large fluctuation in asset prices, and thereafter, a decrease in the number of agents.

At an intermediate market impact, the phase transition occurs. No matter what the market impact is, an equilibrium between different markets exists, which is reflected in the occurrence of similar price fluctuations in different markets. A theoretical using trading strategies to detect phase transitions in financial markets indicates that such an equilibrium results from the coupled effects of strategy updating and shift in investment.

The runaway of the agents trading a specific asset will lead to a decline in the asset price volatility and such a decline will be inhibited by the clustering of the strategies. A uniform strategy distribution will lead to a large fluctuation in asset prices and such a fluctuation will be suppressed by the decrease in the number of agents in the market.

A functional relationship between the price fluctuations and the numbers of agents is found. Subjects: Trading and Market Microstructure q-fin. TR ; Physics and Society physics.

 

Swiss Finance Institute

 

using trading strategies to detect phase transitions in financial markets

 

Zalán Forró's 8 research works with 53 citations and reads, including: Using trading strategies to detect phase transitions in financial markets For full functionality of ResearchGate it is. Using trading strategies to detect phase transitions in financial markets Z. Forró, R. Woodard and D. Sornette 14 April | Physical Review E, Vol. 91, No. 4Cited by: Using Trading Strategies to Detect phase Transitions in Financial Markets. Home; Publications; Using Trading Strategies to Detect phase Transitions in Financial Markets. Author D. Sornette, Z. Forro and R. Woodard. Journal Physical Review E. Date 01 Jan. Category Academic Publications.