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A Prototype Model of Stock Exchange

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Author Info
G. Caldarelli
M. Marsili
Y. -C. Zhang
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.

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File URL: http://arxiv.org/abs/cond-mat/9709118
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File URL: http://arxiv.org/pdf/cond-mat/9709118
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/9709118.

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Date of creation: Sep 1997
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Handle: RePEc:arx:papers:cond-mat/9709118

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  1. B. M. Roehner, 1999. "Identifying the bottom line after a stock market crash," Quantitative Finance Papers cond-mat/9910213, arXiv.org. [Downloadable!]
  2. Rama CONT & Jean-Philippe BOUCHAUD, 1997. "Herd behavior and aggregate fluctuations in financial markets," Finance 9712008, EconWPA, revised 30 Dec 1997. [Downloadable!]
  3. Shareen Joshi & Mark A. Bedau, 1998. "An Explanation of Generic Behavior in an Evolving Financial Market," Research in Economics 98-12-114e, Santa Fe Institute. [Downloadable!]
  4. Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Science & Finance (CFM) working paper archive 500028, Science & Finance, Capital Fund Management. [Downloadable!]
  5. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Quantitative Finance Papers cond-mat/0012419, arXiv.org. [Downloadable!]
  6. Baosheng Yuan & Kan Chen, 2005. "Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations," Quantitative Finance Papers physics/0506224, arXiv.org. [Downloadable!]
  7. Baosheng Yuan & Kan Chen, 2006. "Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations," Journal of Economic Interaction and Coordination, Springer, vol. 1(2), pages 189-214, November. [Downloadable!] (restricted)
  8. J. Doyne Farmer & Shareen Joshi, 2000. "The Price Dynamics of Common Trading Strategies," Working Papers 00-12-069, Santa Fe Institute.
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