Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Dynamical Models of Stock Prices Based on Technical Trading Rules Part
  II: Analysis of the Models   In Part II of this paper, we concentrate our analysis on the price dynamical
model with the moving average rules developed in Part I of this paper. By
decomposing the excessive demand function, we reveal that it is the interplay
between trend-following and contrarian actions that generates the price chaos,
and give parameter ranges for the price series to change from divergence to
chaos and to oscillation. We prove that the price dynamical model has an
infinite number of equilibrium points but all these equilibrium points are
unstable. We demonstrate the short-term predictability of the return volatility
and derive the detailed formula of the Lyapunov exponent as function of the
model parameters. We show that although the price is chaotic, the volatility
converges to some constant very quickly at the rate of the Lyapunov exponent.
We extract the formula relating the converged volatility to the model
parameters based on Monte-Carlo simulations. We explore the circumstances under
which the returns show independency and illustrate in details how the
independency index changes with the model parameters. Finally, we plot the
strange attractor and return distribution of the chaotic price model to
illustrate the complex structure and fat-tailed distribution of the returns.

12
The categories of this paper are: nucl-th
24
The categories of this paper are: dg-ga
0
The categories of this paper are: hep-ph
34
The categories of this paper are: chem-ph
33
The categories of this paper are: plasm-ph
23
The categories of this paper are: solv-int
3
The categories of this paper are: physics
28
The categories of this paper are: alg-geom
13
The categories of this paper are: quant-ph
14
The categories of this paper are: math-ph
7
The categories of this paper are: hep-th
6
The categories of this paper are: astro-ph
20
The categories of this paper are: acc-phys
19
The categories of this paper are: eess
8
The categories of this paper are: hep-ex
4
The categories of this paper are: cond-mat