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The grounds for time dependent market potentials from dealers’ dynamics

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Abstract

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.

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Authors and Affiliations

  1. 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

    K. Yamada & M. Takayasu

  2. Sony Computer Science Laboratories, Inc., 3-14-13 Higashi-Gotanda, Shinagawa-ku, Tokyo, 141-0022, Japan

    H. Takayasu

Authors
  1. K. Yamada
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  2. H. Takayasu
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  3. M. Takayasu
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Correspondence to K. Yamada.

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Yamada, K., Takayasu, H. & Takayasu, M. The grounds for time dependent market potentials from dealers’ dynamics. Eur. Phys. J. B 63, 529–532 (2008). https://doi.org/10.1140/epjb/e2008-00155-4

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  • DOI: https://doi.org/10.1140/epjb/e2008-00155-4

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