Browsing School of Technology by Subject "feedback trading"

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  • Can Feedback Traders Rock the Markets? A Logistic Tale of Persistence and Chaos 

    Tambakis, Demosthenes N (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 ...

  • Endogenous Market Turbulence 

    Tambakis, Demosthenes N (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 ...