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Volatility driven market in a generalized Lotka–Voltera formalism

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  • Louzoun, Yoram
  • Solomon, Sorin

Abstract

The generalized Lotka–Voltera (GLV) formalism has been introduced in order to explain the power law distributions in the individual wealth (wi(t)) (Pareto law) and financial markets returns (fluctuations) (r) as a result of the auto-catalytic (multiplicative random) character of the individual capital dynamics.

Suggested Citation

  • Louzoun, Yoram & Solomon, Sorin, 2001. "Volatility driven market in a generalized Lotka–Voltera formalism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 302(1), pages 220-233.
    • Handle: RePEc:eee:phsmap:v:302:y:2001:i:1:p:220-233
    DOI: 10.1016/S0378-4371(01)00466-6
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    Citations

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    Cited by:

    1. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
    2. Ted Theodosopoulos & Alex Trifunovic, 2006. "Hybrid dynamics for currency modeling," Papers math/0605457, arXiv.org.
    3. Bucsa, G. & Jovanovic, F. & Schinckus, C., 2011. "A unified model for price return distributions used in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3435-3443.
    4. Richmond, Peter & Sabatelli, Lorenzo, 2004. "Peer pressure and Generalised Lotka Volterra models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 344-348.
    5. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
    6. Richmond, Peter & Sabatelli, Lorenzo, 2004. "Langevin processes, agent models and socio-economic systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 27-38.
    7. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, Decembrie.
    8. Dashti Moghaddam, M. & Mills, Jeffrey & Serota, R.A., 2020. "From a stochastic model of economic exchange to measures of inequality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).

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