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arXiv · 2109.12166

Psychological dimension of adaptive trading in cryptocurrency markets

Misha Perepelitsa
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Abstract

In this paper we extend the analysis of an agent-based model for adaptive trading, called asynchronous stochastic price pump (ASPP) introduced by Perepelitsa and Timofeyev (2019), to the model with heterogeneous distribution of psychological parameters of speculative optimism and pessimism across the population of traders. We show that the new model has a range of qualitatively different dynamics when the correlation between those factors ranges from low negative to large positive values. A statistical parameter estimation suggests a heterogeneous ASPP with negative correlation as a model of price variations of Bitcoin.

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Misha Perepelitsa. 2021-09-24. Psychological dimension of adaptive trading in cryptocurrency markets. https://arxiv.org/abs/2109.12166

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