Properties of the wealth process in a market microstructure model

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dc.creatorTheodosopoulos, Ted
dc.creatorYuen, Ming
dc.date2005-02-07
dc.date2005-02-07
dc.date.accessioned2026-07-07T12:07:15Z
dc.date.available2026-07-07T12:07:15Z
dc.descriptionIn this short paper we define the wealth process in a spin model for market microstructure, for individual agents and in aggregate. The agents in our model try to balance their desire to belong to the local majority (herding behavior), defined over random network neighborhoods, and the occasional advantage of belonging to the global minority (contrarian trading). We arrive at a classification of the martingale properties of this wealth process and use it to determine the strategic stability of the agents' interactions. Our goal is to add a behavioral interpretation to this stochastic agent-based model for market fluctuations.
dc.description12 pages, 6 figures
dc.identifierhttps://arxiv.org/abs/math/0502105
dc.identifierhttp://arxiv.org/abs/math/0502105
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208902
dc.subjectProbability
dc.subjectGeneral Finance
dc.subject60K35; 91B70
dc.titleProperties of the wealth process in a market microstructure model
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