Cedric Schuhmann, Benjamin Köhler, Anton J. Heckens, Thomas Guhr
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A new traders’ game? — Empirical analysis of response functions in a historical perspective
Traders on financial markets generate non-Markovian effects in various ways, particularly through their competition with one another which can be interpreted as a game between different (types of) traders. To quantify the market mechanisms, we empirically analyze self-response functions for pairs of different stocks and the corresponding trade sign correlators. While the non-Markovian dynamics in the self-responses is liquidity-driven, it is expectation-driven in the cross-responses which is related to the emergence of correlations. We empirically study the non-stationarity of these responses over time. In our previous data analysis, we only investigated the crisis year 2008. We now considerably extend this by also analyzing the years 2007, 2014 and 2021. To improve statistics, we also work out averaged response functions for the different years. We find significant variations over time revealing changes in the traders’ game.
期刊介绍:
Physica A: Statistical Mechanics and its Applications
Recognized by the European Physical Society
Physica A publishes research in the field of statistical mechanics and its applications.
Statistical mechanics sets out to explain the behaviour of macroscopic systems by studying the statistical properties of their microscopic constituents.
Applications of the techniques of statistical mechanics are widespread, and include: applications to physical systems such as solids, liquids and gases; applications to chemical and biological systems (colloids, interfaces, complex fluids, polymers and biopolymers, cell physics); and other interdisciplinary applications to for instance biological, economical and sociological systems.