English, Article edition: Feedback trading and intermittent market turbulence Demosthenes Tambakis

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Bookmark: http://trove.nla.gov.au/version/50444
Physical Description
  • article
Language
  • English

Edition details

Title
  • Feedback trading and intermittent market turbulence
Author
  • Demosthenes Tambakis
Physical Description
  • article
Notes
  • This paper studies the potential for complex asset return dynamics in a high-frequency, non-fundamental feedback trading model. Price adjustment is driven by the time-varying price impact of net orderflow. In tranquil times feedback trading has no impact on the price level. Given feedback trading intensities, as asset liquidity declines the market progressively becomes stressed and turbulent. Returns and absolute returns persistence are found to display power-law features, and episodes of turbulence are intermittent.
  • Feedback trading, Price impact, Financial stability, Intermittence, Power law,
  • RePEc:taf:quantf:v:9:y:2009:i:4:p:477-489
Language
  • English
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