A Continuous Time Asynchronous Model of the Stock Market; Beyond the LLS Model

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real stock markets. Each trader has a unique decision function, which allows him/ her to trade at any time, to react to external news, to respond to price changes (or volume, volatility, etc.), and to consider the "fundamental price". As a simple example we consider three "generic" decision functions, which correspond to three trader profiles: Noisy, Fundamentalist and Chartist.
Talk at International Workshop "Economic Dynamics from the Physics Point of View" Physikzentrum Bad Honnef, Germany, 27 - 30 March 2000; To appear in Physica A

Keywords

Statistical Mechanics, Adaptation and Self-Organizing Systems, Trading and Market Microstructure

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/208657

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0005430
 http://arxiv.org/abs/cond-mat/0005430

Collections

arXiv