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- Title
Fluctuation-driven price dynamics and investment strategies.
- Authors
Li, Yan; Zheng, Bo; Chen, Ting-Ting; Jiang, Xiong-Fei
- Abstract
Investigation of the driven mechanism of the price dynamics in complex financial systems is important and challenging. In this paper, we propose an investment strategy to study how dynamic fluctuations drive the price movements. The strategy is successfully applied to different stock markets in the world, and the result indicates that the driving effect of the dynamic fluctuations is rather robust. We investigate how the strategy performance is influenced by the market states and optimize the strategy performance by introducing two parameters. The strategy is also compared with several typical technical trading rules. Our findings not only provide an investment strategy which extends investors’ profits, but also offer a useful method to look into the dynamic properties of complex financial systems.
- Subjects
FLUCTUATIONS (Physics); INVESTMENT policy; STOCK exchanges; FINANCIAL markets; INVESTORS; COMPUTER simulation
- Publication
PLoS ONE, 2017, Vol 12, Issue 12, p1
- ISSN
1932-6203
- Publication type
Article
- DOI
10.1371/journal.pone.0189274