The grounds for time dependent market potentials from dealers' dynamics
Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, 4259-G3-52 Nagatsuta-cho, Midori-ku, Yokohama, 226-8502, Japan
2 Sony Computer Science Laboratories, Inc., 3-14-13 Higashi-Gotanda, Shinagawa-ku, Tokyo, 141-0022, Japan
Corresponding author: a firstname.lastname@example.org
Published online: 11 April 2008
We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer model. We find that dealers' feedback of linear prediction of market price based on the latest mean price changes plays the central role in the market's potential force. When markets are dominated by dealers with positive feedback the resulting potential force is repulsive, while the effect of negative feedback enhances the attractive potential force.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 89.75.Fb – Structures and organization in complex systems / 87.23.Ge – Dynamics of social systems
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2008