Journal article

A note on the theory of fast money flow dynamics

A Sokolov, T Kieu, A Melatos

EUROPEAN PHYSICAL JOURNAL B | SPRINGER | Published : 2010

Abstract

The gauge theory of arbitrage was introduced by Ilinski in [K. Ilinski, preprint arXiv:hep-th/9710148 (1997)] and applied to fast money flows in [A. Ilinskaia, K. Ilinski, preprint arXiv:cond-mat/9902044 (1999); K. Ilinski, Physics of finance: gauge modelling in non-equilibrium pricing (Wiley, 2001)]. The theory of fast money flow dynamics attempts to model the evolution of currency exchange rates and stock prices on short, e.g. intra-day, time scales. It has been used to explain some of the heuristic trading rules, known as technical analysis, that are used by professional traders in the equity and foreign exchange markets. A critique of some of the underlying assumptions of the gauge theor..

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University of Melbourne Researchers

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Funding Acknowledgements

A.S. thanks the Portland House Foundation for their generous financial support.