Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays
Market making in equities, studied by Garofalo and Sansone in 2006 with symbolic search. The abstract mentions a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between technical traders.”
AssetEquitiesindices
StrategyMarket makingmomentum
TechniqueSymbolic search
GeographyUS
Also stated: benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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