Ren, F.; Zhang, Y.C. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 22, pp. 5523-5534
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behavior is observed for the return variance σ2, the price impact H and the predictability K for both models, with linear and square root impact functions. The sum of the traders’ wealth...