Market Ecology I Taxonomy of strategies – Uncategorized

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Market Ecology I Taxonomy of strategies Esteban Moro Universidad Carlos III de Madrid Fabrizio Lillo Gabriella Vaglica Rosario Mantegna Paler mo New Journal of Physics 10 2008 043019 1 Objective Empirical investigation of agent strategies in a stock market...

...Spanish Stock Market BME Market Capitalization Source IMF International financial statistics Yearbook 2005 2004 Data Databases Book 1999 2007 Transactions 1999 2007 Our study Jan 01 Dec 04 52 Millions or transactions 88 Millions of bid ask movements 100 Firms 5 transactions minute firm Level... number of firms trading show detectable trending or reversing strategies Treding major foreign financial institutions institutional traders Reversing retailers small institutions Undefined major banks Reversing trending present a...

PDF Filename: Market_Ecology_1.pdf

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