The opinion Game: Stock price evolution from microscopic market modelling
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- 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.
Verfasserangaben: | Anton Bovier, Jirí Cherný, Ostap Hryniv |
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URN: | urn:nbn:de:0296-matheon-493 |
Gutachter*in: | Peter Imkeller |
Dokumentart: | Preprint, Forschungszentrum Matheon |
Sprache: | Englisch |
Datum der Erstveröffentlichung: | 24.02.2004 |
Datum der Freischaltung: | 19.01.2004 |
Institut: | Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS) |
Preprint-Nummer: | 92 |