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Wealth dynamics in a sentiment-driven market

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  • Goykhman, Mikhail

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.

Suggested Citation

  • Goykhman, Mikhail, 2017. "Wealth dynamics in a sentiment-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 488(C), pages 132-148.
    • Handle: RePEc:eee:phsmap:v:488:y:2017:i:c:p:132-148
    DOI: 10.1016/j.physa.2017.06.023
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    Cited by:

    1. Linda Ponta & Silvano Cincotti, 2018. "Traders’ Networks of Interactions and Structural Properties of Financial Markets: An Agent-Based Approach," Complexity, Hindawi, vol. 2018, pages 1-9, January.
    2. Mikhail Goykhman & Ali Teimouri, 2017. "Machine learning in sentiment reconstruction of the simulated stock market," Papers 1708.01897, arXiv.org.

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