On Simple Mean-Field Stochastic Model of Market Dynamics

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dc.creatorSaiko, Guennadi
dc.date2003-07-08
dc.date.accessioned2026-07-07T12:06:47Z
dc.date.available2026-07-07T12:06:47Z
dc.descriptionWe propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two characteristic time scales: the time of changes of market environment and the characteristic time of news flow. Price behavior in the most general case is driven by three stochastic processes, attributed to trend-followers, fundamentalists, and news flow, respectively. The model demonstrates the wide range of peculiarities which are typical in real markets: multiscale behavior, clustered volatility, weak correlations between the price changes on successive trading days, etc.
dc.descriptionLaTeX, 5 pages with 2 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0307170
dc.identifierhttp://arxiv.org/abs/cond-mat/0307170
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208758
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleOn Simple Mean-Field Stochastic Model of Market Dynamics
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