IDEAS home Printed from
   My bibliography  Save this article

Some new results on the Levy, Levy and Solomon microscopic stock market model


  • Zschischang, Elmar
  • Lux, Thomas


We report some findings from our simulations of the Levy, Levy and Solomon microscopic stock market model. Our results cast doubts on some of the results published in the original papers (i.e., chaotic stock price movements). We also point out the possibility of sensitive dependence on initial conditions of the emerging wealth distribution among agents. Extensions of the model set-up show that with varying degrees of risk aversion, the less risk averse traders will tend to dominate the market. Similarly, when introducing a new trader group (or even a single trader) with a constant share of stocks in their portfolio, the latter will eventually take over and marginalize the other groups. The better performance of the more sober investors is in accordance with traditional perceptions in financial economics. Hence, the survival of ‘noise traders’ looking at short-term trends and patterns remains as much of a puzzle in this framework as in the traditional Efficient Market Theory.

Suggested Citation

  • Zschischang, Elmar & Lux, Thomas, 2001. "Some new results on the Levy, Levy and Solomon microscopic stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 291(1), pages 563-573.
  • Handle: RePEc:eee:phsmap:v:291:y:2001:i:1:p:563-573
    DOI: 10.1016/S0378-4371(00)00609-9

    Download full text from publisher

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    As the access to this document is restricted, you may want to search for a different version of it.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Gulio Bottazzi & Mikhail Anufriev, 2006. "Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders," Working Papers wp06-02, Warwick Business School, Finance Group.
    2. Anufriev, Mikhail & Bottazzi, Giulio & Pancotto, Francesca, 2006. "Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1787-1835.
    3. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters,in: Handbook of Research on Complexity, chapter 9 Edward Elgar Publishing.
    4. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140,
    5. Anufriev, Mikhail & Dindo, Pietro, 2010. "Wealth-driven selection in a financial market with heterogeneous agents," Journal of Economic Behavior & Organization, Elsevier, vol. 73(3), pages 327-358, March.
    6. Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW).
    7. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354,
    8. Mikhail Anufriev, 2008. "Wealth-driven competition in a speculative financial market: examples with maximizing agents," Quantitative Finance, Taylor & Francis Journals, vol. 8(4), pages 363-380.
    9. He, Xue-Zhong & Zheng, Min, 2010. "Dynamics of moving average rules in a continuous-time financial market model," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 615-634, December.
    10. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 101-139.
    11. Mikhail Anufriev & Giulio Bottazzi, 2006. "Behavioral Consistent Market Equilibria under Procedural Rationality," Computing in Economics and Finance 2006 225, Society for Computational Economics.
    12. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics,in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:291:y:2001:i:1:p:563-573. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.