Title of article
The oscillation of stock price by majority orienting traders with investment position
Author/Authors
T. Yamashita، نويسنده , , H. Yamamoto and Y. Itoh، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
9
From page
764
To page
772
Abstract
We consider an interacting particle system for the stock price fluctuation. The change of the stock price with a feedback by the price considering the herding behavior (majority orienting behavior) of traders, gives the van der Pol equation as a deterministic approximation. Considering the investment position of each trader, we introduce the delayed van der Pol equation. The history of investment positions, for example sell or buy, of each trader for a stock makes a memory effect, which is modeled by using the time retardation. The delayed van der Pol equation model seems to be natural and explains typical phenomena, for example triangle pattern, volatility jumps, price jumps and price trends, known for the time series of a stock price.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2007
Journal title
Physica A Statistical Mechanics and its Applications
Record number
871312
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