• 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