A New Traders' Game? -- Response Functions in a Historical Perspective

Traders on financial markets generate non-Markovian effects in various ways, particularly through their competition with one another which can be interpreted as a game between different (types of) traders. To quantify the market mechanisms, we analyze self-response functions for pairs of different stocks and the corresponding trade sign correlators. While the non-Markovian dynamics in the self-responses is liquidity-driven, it is expectation-driven in the cross-responses which is related to the emergence of correlations. We study the non-stationarity of theses responses over time. In our previous analysis, we only investigated the crisis year 2008. We now considerably extend this by also analyzing the years 2007, 2014 and 2021. To improve statistics, we also work out averaged response functions for the different years. We find significant variations over time revealing changes in the traders' game.