Generation of predictive price and trading volume patterns in a model of dynamically evolving free market supply and demand

Authors
Citation
Jk. Wang, Generation of predictive price and trading volume patterns in a model of dynamically evolving free market supply and demand, DISCR D N S, 6(1), 2001, pp. 37-47
Citations number
7
Categorie Soggetti
Multidisciplinary
Journal title
DISCRETE DYNAMICS IN NATURE AND SOCIETY
ISSN journal
10260226 → ACNP
Volume
6
Issue
1
Year of publication
2001
Pages
37 - 47
Database
ISI
SICI code
1026-0226(2001)6:1<37:GOPPAT>2.0.ZU;2-W
Abstract
I present a model of stock market price fluctuations incorporating effects of share supply as a history-dependent function of previous purchases and s hare demand as a Function of price deviation from moving averages. Price ch arts generated show intervals of oscillations switching amplitude and frequ ency suddenly in time, forming price and trading volume patterns well-known in market technical analysis. Ultimate price trends agree with traditional predictions for specific patterns. The consideration of dynamically evolvi ng supply and demand in this model resolves the apparent contradiction with the Efficient Market Hypothesis: perceptions of imprecise equity values by a world of investors evolve over non-negligible periods of time, with depe ndence on price history.