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Journal article

The price dynamics of common trading strategies

Abstract:: 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.

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APA Style

Farmer, J., & Joshi, S. (2000). The price dynamics of common trading strategies.

MLA Style

Farmer, J., and S. Joshi. The Price Dynamics of Common Trading Strategies. 2000.

Chicago Style

Farmer, J, and S Joshi. 2000. “The Price Dynamics of Common Trading Strategies.”
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Authors

+ Farmer, J More by this author

Institution:

University of Oxford

Division:

MPLS

Department:

Mathematical Institute

Role:

Author

+ Joshi, S More by this author

Role:

Author

Bibliographic Details

Publication date:: 2000-12-21

Item Description

Keywords:: cond-mat.stat-mech

q-fin.TR
Pubs id:: pubs:387656
UUID:: uuid:8927caa6-fbd1-4168-b8df-67f0385b6a7d
Local pid:: pubs:387656
Source identifiers:: 387656
Deposit date:: 2013-11-16

Terms of use

Copyright date:: 2000
Notes:: 29 pages, 12 figures

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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