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

DOI10.1016/S0378-4371(02)01213-XMaRDI QIDQ1847458zbMATH OpenOpenAlexFDO

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

Publication date 26 November 2002

Published in Physica A (Search for Journal in Brave)

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

zbMATH Keywords

fluctuation-dissipation theoremspontaneous decayLux-Marchesi model

Mathematics Subject Classification ID

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

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.

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Cites work

• Elements for a theory of financial risks
• Empirical properties of asset returns: stylized facts and statistical issues
• 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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