Description
A deterministic trading strategy can be regarded as a signal processing element that uses external
information and past prices as inputs and incorporates them into future prices. This paper uses a
market maker based method of price formation to study the price dynamics induced by several
commonly used financial trading strategies, showing how they amplify noise, induce structure in
prices, and cause phenomena such as excess and clustered volatility. © 2002 Published by Elsevier
Science B.V.
doc_922849264.pdf
A deterministic trading strategy can be regarded as a signal processing element that uses external
information and past prices as inputs and incorporates them into future prices. This paper uses a
market maker based method of price formation to study the price dynamics induced by several
commonly used financial trading strategies, showing how they amplify noise, induce structure in
prices, and cause phenomena such as excess and clustered volatility. © 2002 Published by Elsevier
Science B.V.
doc_922849264.pdf