Evidence map›Paper›PMID 31442240›Full record

ArticlePloS one2019

Classification of position management strategies at the order-book level and their influences on future market-price formation.

Takumi Sueshige, Didier Sornette, Hideki Takayasu, Misako Takayasu

Abstract read
In one paragraph

Article in PloS one, 2019. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 1 paper.

0numbers the graph read from it
0cells of the map it votes in
1citing papers in PubMed
–field-weighted citation impact
1 · What the graph read from it

What it found

Each row is one number read from the abstract, on the scale the paper reported it, with its interval. Left of the dashed line favours the treatment, right favours the comparator. Under each row is the sentence it came from. New to these charts? A ten-minute tutorial.

The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.

2 · The registry

The trial behind it

Trials whose registry record cites this paper, or whose number appears in the abstract. A trial that started after this paper was published is citing it as background, not reporting it.

Neither the registry nor the abstract names a trial number. If this is a trial report, that itself is worth knowing.

3 · Its place in the literature

Who cites it

1 citing paper in PubMed.

  1. Article
4 · The record

Corrections and comments

PubMed lists nothing against this paper. Absence here is not a guarantee, only a check that was made.

5 · Who and what money

Authors and funding

4 authors.

Takumi SueshigeDepartment of Mathematical and Computing Science, School of Computing, Tokyo Institute of Technology, Nagatsuta-cho, Midori-ku, Yokohama, Japan.
Didier SornetteETH Zürich, Department of Management, Technology and Economics, Zürich, Switzerland.
Hideki TakayasuSony Computer Science Laboratories, Higashi-Gotanda, Shinagawa-ku, Tokyo, Japan.
Misako TakayasuDepartment of Mathematical and Computing Science, School of Computing, Tokyo Institute of Technology, Nagatsuta-cho, Midori-ku, Yokohama, Japan.

Funding

No grant is acknowledged in the PubMed record.

6 · The paper itself

Abstract

Financial prices fluctuate as a results of the market impact of the flow of transactions between traders. Reciprocally, several studies of market microstructure have shown how decisions of individual traders or banks, implemented in their trading strategies, are affected by historical market information. However, little is known about the detailed processes of how such trading strategies at the micro level recursively affect future market information at the macro level. Using a special fined-grained dataset that allows us to track the complete trading behavior of specific banks in a U.S. dollar (USD) versus Japanese yen (JPY) market, we find that position management methods, defined as the number of units of USD bought or sold by banks against JPY, can be classified into two strategies: (1) banks increase their positions by trading in the same direction repeatedly, or (2) banks attempt to reduce their inventories by rapidly shifting their positions toward zero. We then demonstrate that their systematic position management strategies strongly influence future market prices, as demonstrated by our ability using this information to predict market prices about fifteen minutes in advance. Further, by detecting outlier trades, we reveal that traders seem to switch their strategies when they become aware of outlier trades. The evidence obtained here suggests that positions, which are a consequence of historical trading decisions based on the position management strategies of each bank, strongly influence future market prices, and we unravel how market prices at the macro level evolve through an interactive process involving the interaction between well-defined trading strategies at the micro level.

Indexed as

CommerceInvestmentsModels, EconomicDecision Making

Identifiers

PMID31442240
PMCPMC6707548

What OpenQuestion holds

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Registered trials

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Read under generation 80e0d062 · epoch 390. Bibliography from PubMed, PubMed Central and OpenAlex; grants from NIH RePORTER; trial links from ClinicalTrials.gov; estimates, votes and beliefs from the OpenQuestion graph.