A Prototype Model of Stock Exchange
Statistical Mechanics
2009-10-30 v1 adap-org
Adaptation and Self-Organizing Systems
Trading and Market Microstructure
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.
Keywords
Cite
@article{arxiv.cond-mat/9709118,
title = {A Prototype Model of Stock Exchange},
author = {G. Caldarelli and M. Marsili and Y. -C. Zhang},
journal= {arXiv preprint arXiv:cond-mat/9709118},
year = {2009}
}
Comments
LaTex, 4 pages, 4 Encapsulated Postscript figures, uses psfig