THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING

DOI10.1142/S0219024906003421zbMATH Open1131.91021arXivcond-mat/0401422OpenAlexW1954392685MaRDI QIDQ3379412FDOQ3379412

Anton Bovier, Ostap Hryniv, Jiří Černý

Publication date: 6 April 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/cond-mat/0401422

Recommendations

• Stock market dynamics created by interacting agents
• Simulations of evolutionary models of a stock market
• Financial price fluctuations in a stock market model with many interacting agents
• Applications of microscopic modelling in finance
• Diffusion and aggregation in an agent based model of stock market fluctuations

zbMATH Keywords

statistical mechanicsstochastic dynamicsfinancial markets

Mathematics Subject Classification ID

Applications of game theory (91A80) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• The pricing of options and corporate liabilities
• Stock price fluctuation as a diffusion in a random environment
• Market Behavior in a Clearing House
• Auctions as algorithms. Computerized trade execution and price discovery
• Order flow and the bid-ask spread: an empirical probability model of screen-based trading

Cited In (5)

• Order execution probability and order queue in limit order markets
• Modelling high-frequency limit order book dynamics with support vector machines
• Stock market dynamics created by interacting agents
• Title not available (Why is that?)
• Probabilistic aspects of finance

This page was built for publication: THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3379412)