Wealth dynamics in a sentiment-driven market
Trading and Market Microstructure
2017-07-26 v1
Abstract
We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty, and the trading intensity of all or a part of the market participants. We study how the wealth of market participants evolves in time in such an environment. We discuss the opposite perspective in which the parameters of the sentiment processes can be inferred a posteriori from the observed market behavior.
Cite
@article{arxiv.1705.07092,
title = {Wealth dynamics in a sentiment-driven market},
author = {Mikhail Goykhman},
journal= {arXiv preprint arXiv:1705.07092},
year = {2017}
}
Comments
Stock exchange implementation is available here: https://github.com/Goykhman/Stock_exchange