Generalized Lotka-Volterra (GLV) Models of Stock Markets

Sorin Solomon
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Sorin Solomon: Rakah lnstitute of Physics, Hebrew University of Jerusalem, Israel

Advances in Complex Systems (ACS), 2000, vol. 03, issue 01n04, 301-322

Abstract: The Generalized Lotka-Volterra (GLV) model:\[ w_i(t + 1) = \lambda w_i(t) + a \bar{w}(t) - c\bar{w}(t)w_i(t)\ \,,\ i = 1,\ldots \ldots, N \]provides a general method to simulate, analyze and understand a wide class of phenomena that are characterized by power-law probability distributions:\[ P(w)dw \sim w^{-1-\alpha}dw (\alpha \ge 1) \]and truncated Levy flights fluctuations$L_\alpha(\bar{w})$. We show how the model applies to economic systems.

Date: 2000
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DOI: 10.1142/S0219525900000224

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