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dc.contributor.authorTambakis, Demosthenes N
dc.date.accessioned2010-05-19T11:10:41Z
dc.date.available2010-05-19T11:10:41Z
dc.date.issued2006-03
dc.identifier.citationJEL classification: G10, G12en
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/225154
dc.description.abstractThis 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 asymmetric information. The dynamics of expected returns display stable or unstable behavior–including the possibility of turbulence and chaos–as a function of market liquidity (inverse price impact) and the concentration of investor beliefs, which is proportional to the intensity of positive feedback. The results highlight the complementary role of investor diversity and market liquidity in maintaining financial stability.en
dc.language.isoenen
dc.publisherCFAP, Cambridge Judge Business School, University of Cambridgeen
dc.relation.ispartofseriesCFAP Working Paperen
dc.relation.ispartofseries26en
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectfeedback tradingen
dc.subjectliquidityen
dc.subjectheterogeneityen
dc.subjectfinancial stabilityen
dc.subjectchaosen
dc.subjectnonlinear dynamicsen
dc.titleCan Feedback Traders Rock the Markets? A Logistic Tale of Persistence and Chaosen
dc.typeWorking Paperen
dc.type.versionpublished versionen


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