During a speculative episode the price of an item jumps from an initial level p1 to a peak level p2 before more or less returning to level p1 . The ratio p 2/p 1 is referred to as the amplitude A of the peak. This paper shows that for a given market the peak amplitude is a linear function of the logarithm of the price at the beginning of the speculative episode; with p1 expressed in 1999 euros the relationship takes the form: ; the values of the parameter a turn out to be relatively independent of the market considered: , the values of the parameter b are more market-dependent, but are stable in the course of time for a given market. This relationship suggests that the higher the stakes the more “bullish” the market becomes. Possible mechanisms of this “risk affinity” effect are discussed.
This is a preview of subscription content, access via your institution.
Buy single article
Instant access to the full article PDF.
Tax calculation will be finalised during checkout.
Received 29 September 1999
About this article
Cite this article
Roehner, B. Speculative trading: the price multiplier effect. Eur. Phys. J. B 14, 395–399 (2000). https://doi.org/10.1007/s100510050144
- PACS. 64.60.Fr Equilibrium properties near critical points, critical exponents - 87.23.Ge Dynamics of social systems