Escaping the Brownian stalkers

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dc.creatorWeiss, Alexander
dc.date2008-03-25
dc.date.accessioned2026-07-07T13:08:15Z
dc.date.available2026-07-07T13:08:15Z
dc.descriptionWe propose a simple model for the behaviour of longterm investors on a stock market, consisting of three particles, which represent the current price of the stock and the opinion of the buyers, respectively sellers, about the right trading price. As time evolves, both groups of traders update their opinions with respect to the current price. The update speed is controled by a parameter $γ$, the price process is described by a geometric Brownian motion. We consider the stability of the market in terms of the distance between the buyers' and sellers' opinion, and prove that the distance process is recurrent/transient in dependence on $γ$.
dc.descriptionAMS-LaTeX v2.0, 21 pages with 8 eps-figures, uses psfrag.sty
dc.identifierhttps://arxiv.org/abs/0803.3590
dc.identifierhttp://arxiv.org/abs/0803.3590
dc.identifierElectron. J. Probab. 14 (2009) 139-160
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/228358
dc.subjectTrading and Market Microstructure
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject60J65 60K10
dc.titleEscaping the Brownian stalkers
dc.typetext

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