2000/05/25 by M. Shatner, Shatner, M., L. Muchnik +7
Economics, Econometrics and Finance · Physics and Astronomy · #Adaptation and Self-Organizing Systems (nlin.AO) #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #FOS: Physical sciences #Financial Risk and Volatility Modeling #Statistical Mechanics (cond-mat.stat-mech) #Trading and Market Microstructure (q-fin.TR) #cond-mat.stat-mech #nlin.AO #q-fin.TR
paper · pdf · doi:10.48550/arxiv.cond-mat/0005430
Talk at International Workshop "Economic Dynamics from the Physics Point of View" Physikzentrum Bad Honnef, Germany, 27 - 30 March 2000; To appear in Physica A
arxiv created 2000/05/25 · openalex publication_date 2000/05/25 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real stock markets. Each trader has a unique decision function, which allows him/ her to trade at any time, to react to external news, to respond to price changes (or volume, volatility, etc.), and to consider the "fundamental price". As a simple example we consider three "generic" decision functions, which correspond to three trader profiles: Noisy, Fundamentalist and Chartist.