Escaping the Brownian stalkers
Please always quote using this URN:urn:nbn:de:0296-matheon-5897
- We propose a simple model for the behaviour of longterm investors on a stock market. It consists of three particles that represent the stock's current price and the buyers', respectively sellers', opinion about the right trading price. As time evolves, both groups of traders update their opinions with respect to the current price. The speed of updating is controled by a parameter gamma; the price process is described by a geometric Brownian motion. We consider the market's stability in terms of the distance between the buyers' and sellers' opinion, and prove that the distance process is recurrent/transient in dependence on gamma.
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| Author: | Alexander Weiß |
|---|---|
| URN: | urn:nbn:de:0296-matheon-5897 |
| Referee: | Dirk Becherer |
| Document Type: | Preprint, Research Center Matheon |
| Language: | English |
| Date of first Publication: | 2009/07/20 |
| Release Date: | 2009/07/20 |
| Institute: | Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS) |
| Preprint Number: | 592 |
