Market Ecology, Pareto Wealth Distribution and Leptokurtic Returns in Microscopic Simulation of the LLS Stock Market Model

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dc.creatorSolomon, Sorin
dc.creatorLevy, Moshe
dc.date2000-05-24
dc.date.accessioned2026-07-07T12:06:26Z
dc.date.available2026-07-07T12:06:26Z
dc.descriptionThe LLS stock market model is a model of heterogeneous quasi-rational investors operating in a complex environment about which they have incomplete information. We review the main features of this model and several of its extensions. We study the effects of investor heterogeneity and show that predation, competition, or symbiosis may occur between different investor populations. The dynamics of the LLS model lead to the empirically observed Pareto wealth distribution. Many properties observed in actual markets appear as natural consequences of the LLS dynamics: truncated Levy distribution of short-term returns, excess volatility, a return autocorrelation "U-shape" pattern, and a positive correlation between volume and absolute returns.
dc.descriptionalso available at: http://shum.cc.huji.ac.il/~sorin/aix/aixfig.tar.gz. Proceedings of Complex behavior in economics: Aix en Provence (Marseille), France, May 4-6,2000
dc.identifierhttps://arxiv.org/abs/cond-mat/0005416
dc.identifierhttp://arxiv.org/abs/cond-mat/0005416
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208656
dc.subjectStatistical Mechanics
dc.subjectAdaptation and Self-Organizing Systems
dc.subjectGeneral Finance
dc.titleMarket Ecology, Pareto Wealth Distribution and Leptokurtic Returns in Microscopic Simulation of the LLS Stock Market Model
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