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arxiv: physics/0609038 · v1 · submitted 2006-09-05 · ⚛️ physics.soc-ph · q-fin.TR

Detecting the traders' strategies in Minority-Majority games and real stock-prices

classification ⚛️ physics.soc-ph q-fin.TR
keywords strategiesdynamicsminority-majoritymodelrealstock-pricestimetraders
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Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of reconstructing the prevailing traders' strategies in a given time interval. Then we also analyze real (NYSE) stock-prices dynamics and it is possible to derive an indication for the the ``sentiment'' of the market for time intervals of at least one day.

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