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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 1: Econophysics

SOE 1.3: Vortrag

Montag, 17. März 2025, 15:45–16:00, H45

A New Traders' Game? — Cedric Schuhmann, •Anton J. Heckens, and Thomas Guhr — Universität Duisburg-Essen, Lotharstr. 1, 47048 Duisburg

Traders on financial markets generate non--Markovian dynamics through their competition with each other. This competition can be interpreted as a game between different types of traders. We study the non--stationarity of this game and show that it has changed significantly since the global crisis of 2008.

To reveal the market mechanism, we analyze self--response functions for individual stocks as well as cross--response functions for pairs of different stocks. While the non--Markovian dynamics in the former is liquidity--driven it is only expectation--driven in the latter which might be interpreted as emergence of correlations. Averages greatly improve the statistics, we work out averaged response functions for different years. We thus considerably extend the analysis of Ref. [1,2] in which only the crisis year 2008 was studied.

[1] S. Wang, R. Schäfer and T. Guhr. Cross--Response in Correlated Financial Markets: Individual Stocks Eur. Phys. J. B 89, 105 (2016).

[2] S. Wang, R. Schäfer and T. Guhr. Average Cross--Responses in Correlated Financial Market Eur. Phys. J. B 89, 207 (2016).

Keywords: Complex Systems; Correlated Financial Markets; Non--Stationarity; Non--Markovian Dynamics; Response Functions