English, Article edition: THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING ANTON BOVIER; JIÅÃ ÄERNÃ; OSTAP HRYNIV

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Physical Description
  • article
Language
  • English

Edition details

Title
  • THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING
Author
  • ANTON BOVIER
  • JIÅÃ ÄERNÃ
  • OSTAP HRYNIV
Physical Description
  • article
Notes
  • 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 simple special cases 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.
  • Stock prices, financial markets, statistical mechanics, stochastic dynamics
  • RePEc:wsi:ijtafx:v:09:y:2006:i:01:p:91-111
Language
  • English
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