A Prototype Model of Stock Exchange
TLDR
In this paper, a prototype model of stock market is introduced and studied numerically, in which traders trade according to their own strategy, to accumulate their assets by speculating on the price's fluctuations which are produced by themselves.Abstract:
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate his assets by speculating on the price's fluctuations which are produced by themselves. The model reproduced rather realistic price histories whose statistical properties are also similar to those observed in real markets.read more
Citations
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The origin of bursts and heavy tails in human dynamics
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Scaling and criticality in a stochastic multi-agent model of a financial market
Thomas Lux,Michele Marchesi +1 more
TL;DR: In this paper, the authors describe a multi-agent model of financial markets which supports the idea that scaling arises from mutual interactions of participants, and they find that it generates such behaviour as a result of interactions between agents.
Journal ArticleDOI
Herd Behavior and Aggregate Fluctuations in Financial Markets
Rama Cont,Jean-Philippe Bouchaud +1 more
TL;DR: In this paper, the authors present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high frequency market data.
Journal ArticleDOI
A single-photon turnstile device
TL;DR: In this paper, a single-photon turnstile device was proposed to realize an effect similar to conductance quantization, which leads to the quantization of electrical conductance: the conductance of each propagating mode is then given by GQ = e2/h (where e is the charge of the electron and h is Planck's constant).
Posted Content
The price dynamics of common trading strategies
J. Doyne Farmer,Shareen Joshi +1 more
TL;DR: In this paper, a market maker based method of price formation is used to study the price dynamics induced by several commonly used financial trading strategies, showing how they amplify noise, induce structure in prices, and cause phenomena such as excess and clustered volatility.
References
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Book
Introduction to Econophysics: Correlations and Complexity in Finance
TL;DR: Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.
Book
The economy as an evolving complex system II
TL;DR: A.B. Lane and R.F. Tesfatsion as mentioned in this paper discussed the evolution of trading structures in an Artificial Stock Market and discussed the role of game-theoretic models in economic history.
Journal ArticleDOI
Herd Behavior and Aggregate Fluctuations in Financial Markets
Rama Cont,Jean-Philippe Bouchaud +1 more
TL;DR: In this paper, the authors present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high frequency market data.
Journal ArticleDOI
A single-photon turnstile device
TL;DR: In this paper, a single-photon turnstile device was proposed to realize an effect similar to conductance quantization, which leads to the quantization of electrical conductance: the conductance of each propagating mode is then given by GQ = e2/h (where e is the charge of the electron and h is Planck's constant).
Posted Content
The price dynamics of common trading strategies
J. Doyne Farmer,Shareen Joshi +1 more
TL;DR: In this paper, a market maker based method of price formation is used to study the price dynamics induced by several commonly used financial trading strategies, showing how they amplify noise, induce structure in prices, and cause phenomena such as excess and clustered volatility.
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