On financial markets trading

DOI10.1016/S0378-4371(00)00548-3zbMATH Open0971.91505arXivcond-mat/0010280MaRDI QIDQ1591780FDOQ1591780

Authors: F. Franci, L. Matassini 

Publication date: 9 January 2001

Published in: Physica A (Search for Journal in Brave)

Abstract: Starting from the observation of the real trading activity, we propose a model of a stockmarket simulating all the typical phases taking place in a stock exchange. We show that there is no need of several classes of agents once one has introduced realistic constraints in order to confine money, time, gain and loss within an appropriate range. The main ingredients are local and global coupling, randomness, Zipf distribution of resources and price formation when inserting an order. The simulation starts with the initial public offer and comprises the broadcasting of news/advertisements and the building of the book, where all the selling and buying orders are stored. The model is able to reproduce fat tails and clustered volatility, the two most significant characteristics of a real stockmarket, being driven by very intuitive parameters.

Full work available at URL: https://arxiv.org/abs/cond-mat/0010280

Recommendations

• Volatility clustering in agent based market models
• scientific article; zbMATH DE number 1977295
• Diffusion and aggregation in an agent based model of stock market fluctuations
• Order book, financial markets, and self-organized criticality
• Fundamentalists clashing over the book: a study of order-driven stock markets

zbMATH Keywords

price formationresource distributionstockmarket model

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Introduction to Econophysics
• Title not available (Why is that?)
• An introduction to synergetics
• Nonlinear effects in a discrete-time dynamic model of a stock market.

Cited In (19)

• Effects of technical traders in a synthetic stock market
• Monte Carlo simulations of a trader-based market model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Learning the optimal trading strategy
• The role of communication and imitation in limit order markets
• Interacting gaps model, dynamics of order book, and stock-market fluctuations
• Fundamentalists clashing over the book: a study of order-driven stock markets
• The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models
• Heterogeneous information-based artificial stock market
• Title not available (Why is that?)
• Alternative trading
• Diffusion and aggregation in an agent based model of stock market fluctuations
• PRICE FORMATION BASED ON PARTICLE-CLUSTER AGGREGATION
• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
• The trading rectangle strategy within book models
• Financial markets with a large trader
• Static and dynamic factors in an information-based multi-asset artificial stock market
• Effect of trading momentum and price resistance on stock market dynamics: a Glauber Monte Carlo simulation

This page was built for publication: On financial markets trading

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1591780)