Technical trading can induce long-run memory in financial markets

DOI10.1016/S0378-4371(02)01201-3zbMath1001.91042OpenAlexW2084176093MaRDI QIDQ1847468

Carlos Ibarra-Valdez, Angel Soriano, Myriam Cisneros, José de Jesús Álvarez-Ramírez

Publication date: 26 November 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01201-3

zbMATH Keywords

market modelprice dynamicsneutral-type differential equation

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Introduction to functional differential equations
• Oscillation criteria for \(n\)th order neutral functional differential equations
• The futility of utility: how market dynamics marginalize Adam Smith
• Statistical physics in foreign exchange currency and stock markets
• Sufficient conditions for oscillation and nonoscillation of neutral equations
• A characteristic time scale in dollar-yen exchange rates
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Introduction to Econophysics
• Linearized oscillation of first-order nonlinear neutral delay differential equations
• Modeling stock market dynamics based on conservation principles
• Why technical trading may be successful? A lesson from the agent-based modeling

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