Diffusion and Aggregation in an Agent Based Model of Stock Market Fluctuations
Statistical Mechanics
2009-10-31 v1 Disordered Systems and Neural Networks
Trading and Market Microstructure
Abstract
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a strategy chosen from a proportional voting ``dominated'' by a leader's decision. The interplay of both kind of agents gives rise to complex price dynamics that is consistent with the main stylized facts of financial time series.
Keywords
Cite
@article{arxiv.cond-mat/0006463,
title = {Diffusion and Aggregation in an Agent Based Model of Stock Market Fluctuations},
author = {Filippo Castiglione},
journal= {arXiv preprint arXiv:cond-mat/0006463},
year = {2009}
}
Comments
17 pages, 8 figures (accepted for publication in Int. J. Mod. Phys. C)