2004/01/22 by Anton Bovier, Bovier, Anton, Jiri Cerny +3
Economics, Econometrics and Finance · Physics and Astronomy · #FOS: Economics and business #FOS: Physical sciences #Other Condensed Matter (cond-mat.other) #Trading and Market Microstructure (q-fin.TR) #cond-mat.other #q-fin.TR
paper · pdf · doi:10.48550/arxiv.cond-mat/0401422
14 pages, 5 figures
arxiv created 2004/01/22 · arxiv updated 2016/08/31
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.