Price drops, fluctuations, and correlation in a multi-agent model of stock markets

DOI10.1016/S0378-4371(02)01213-XzbMATH Open1001.91039arXivcond-mat/0204574OpenAlexW2036379626MaRDI QIDQ1847458FDOQ1847458

Authors: A. G. Zawadowski, R. Karádi, J. Kertész 

Publication date: 26 November 2002

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

Abstract: In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be observed between the decay of spontaneous fluctuations and of changes due to external perturbations reflecting the absence of detailed balance, i.e., of the validity of the fluctuation-dissipation theorem. We found that fundamental price drops are followed by an overshoot with a rather robust characteristic time.

Full work available at URL: https://arxiv.org/abs/cond-mat/0204574

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zbMATH Keywords

fluctuation-dissipation theoremspontaneous decayLux-Marchesi model

Mathematics Subject Classification ID

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

Cites Work

• Empirical properties of asset returns: stylized facts and statistical issues
• Elements for a theory of financial risks
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited In (3)

• Correlations and response: absence of detailed balance on the stock market
• Short-term market reaction after extreme price changes of liquid stocks
• Reaction to Extreme Events in a Minimal Agent Based Model

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