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The Geometric Phase of Stock Trading.
- Source :
-
PLoS ONE . 8/24/2016, Vol. 11 Issue 8, p1-13. 13p. - Publication Year :
- 2016
-
Abstract
- Geometric phases describe how in a continuous-time dynamical system the displacement of a variable (called phase variable) can be related to other variables (shape variables) undergoing a cyclic motion, according to an area rule. The aim of this paper is to show that geometric phases can exist also for discrete-time systems, and even when the cycles in shape space have zero area. A context in which this principle can be applied is stock trading. A zero-area cycle in shape space represents the type of trading operations normally carried out by high-frequency traders (entering and exiting a position on a fast time-scale), while the phase variable represents the cash balance of a trader. Under the assumption that trading impacts stock prices, even zero-area cyclic trading operations can induce geometric phases, i.e., profits or losses, without affecting the stock quote. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 19326203
- Volume :
- 11
- Issue :
- 8
- Database :
- Academic Search Index
- Journal :
- PLoS ONE
- Publication Type :
- Academic Journal
- Accession number :
- 117657675
- Full Text :
- https://doi.org/10.1371/journal.pone.0161538