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The opinion Game: Stock price evolution from microscopic market modelling

Please always quote using this URN:urn:nbn:de:0296-matheon-493
  • We propose a class of Markovian agent based models for the time evolution of a share price in an interactive market. The models rely on a microscopic description of a market of buyers and sellers who change their opinion about the stock value in a stochastic way. The actual price is determined in realistic way by matching (clearing) offers until no further transactions can be performed. Some analytic results for a non-interacting model are presented. We also propose basic interaction mechanisms and show in simulations that these already reproduce certain particular features of prices in real stock markets.

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Metadaten
Author:Anton Bovier, Jirí Cherný, Ostap Hryniv
URN:urn:nbn:de:0296-matheon-493
Referee:Peter Imkeller
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2004/02/24
Release Date:2004/01/19
Institute:Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
Preprint Number:92
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