Market depth and price dynamics: A note

被引：4
|
作者：
Westerhoff, FH [1 ]
机构：
[1] Univ Osnabruck, Dept Econ, D-49069 Osnabruck, Germany
来源：
INTERNATIONAL JOURNAL OF MODERN PHYSICS C | 2004年 / 15卷 / 07期
关键词：
econophysics; market depth; price dynamics; nonlinearities; technical and fundamental analysis;
D O I：
10.1142/S0129183104006455
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
This note explores the consequences of nonlinear price impact functions on price dynamics within the chartist-fundamentalist framework. Price impact functions may be nonlinear with respect to trading volume. As indicated by recent empirical studies, a given transaction may cause a large (small) price change if market depth is low (high). Simulations reveal that such a relationship may create endogenous complex price fluctuations even if the trading behavior of chartists and fundamentalists is linear.
引用
收藏
页码：1005 / 1012
页数：8
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