Browsing School of Technology by Subject "liquidity"
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Can Feedback Traders Rock the Markets? A Logistic Tale of Persistence and Chaos
(CFAP, Cambridge Judge Business School, University of Cambridge, 2006-03)This paper introduces a nonlinear feedback trading model at high frequency. All price adjustment is endogenous, driven by asset return and volatility in the previous trading period. There is no stochastic uncertainty or ...