Monte Carlo simulations of a trader-based market model

DOI10.1016/S0378-4371(02)00981-0MaRDI QIDQ699140zbMATH OpenOpenAlexFDO

Authors C. Hammel, W. B. Paul

Publication date 6 October 2002

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(02)00981-0

zbMATH Keywords

stationary stateparameter sensitivitynoise-traders

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 1269502 (Why is no real title available?)
• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• scientific article; zbMATH DE number 1528424 (Why is no real title available?)
• Agent-based simulation of a financial market
• Diffusion and aggregation in an agent based model of stock market fluctuations
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Introduction to Econophysics
• Some new results on the Levy, Levy and Solomon microscopic stock market model
• Stylized facts of financial markets and market crashes in Minority Games

Cited in

(6)

• TRADER DYNAMICS IN A MODEL MARKET
• Effects of technical traders in a synthetic stock market
• Effect of trading momentum and price resistance on stock market dynamics: a Glauber Monte Carlo simulation
• A modified trading model with an application to the German DAX index
• Dynamics of a binary option market with exogenous information and price sensitivity
• A reaction-diffusion model for market fluctuations -- a relation between price change and traded volumes

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