Artificial market model based on deterministic agents and derivation of limit of GARCH type process

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dc.creatorSato, Aki-Hiro
dc.creatorTakayasu, Hideki
dc.date2001-09-07
dc.date2006-12-12
dc.date.accessioned2026-07-07T12:10:57Z
dc.date.available2026-07-07T12:10:57Z
dc.descriptionWe propose an artificial market model based on deterministic agents. The agents modify their ask/bid price depending on past price changes. The temporal development of market price fluctuations is calculated numerically. A probability density function of market price changes has power law tails. Autocorrelation coefficient of the changes has an anti-correlation, and autocorrelation coefficient of squared changes (volatility correlation function) has a long time correlation. A probability density function of intervals between successive trading follows a geometric distribution. GARCH type stochastic process is theoretically derived from this market model in a limit case. We discuss factors of the market price fluctuations and a relation between the volatility of the market prices and a demand-supply curve. We conclude that the power law tails and the long time volatility result from mechanism of the GARCH type stochastic process.
dc.description25 pages, 1 table and 16 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0109139
dc.identifierhttp://arxiv.org/abs/cond-mat/0109139
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210082
dc.subjectStatistical Mechanics
dc.subjectPhysics and Society
dc.subjectTrading and Market Microstructure
dc.titleArtificial market model based on deterministic agents and derivation of limit of GARCH type process
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