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Endogenous Market Turbulence
(CFAP, Cambridge Judge Business School, University of Cambridge, 2006-04)
In this paper I study a nonlinear feedback trading model which can generate stable, unstable, turbulent or chaotic asset returns depending on market conditions. The dynamics are driven by the stochastic price impact of net ...
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 ...