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.
Author: | Anton Bovier, Jirí Cherný, Ostap Hryniv |
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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 |