Mizuno, Takayuki; Nakano, Tohur; Takayasu, Misako; … - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 330-334
We introduce an autoregressive-type model of prices in the financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible for the slow diffusion in short times, apparent...