Effect of trading momentum and price resistance on stock market dynamics: a Glauber Monte Carlo simulation

F Castiglione, R.b Pandey and D Stauffer

Physica A: Statistical Mechanics and its Applications, 2001, vol. 289, issue 1, 223-228

Abstract: A Monte Carlo computer simulation model is presented to study the evolution of stock price and the distribution of price fluctuation. The resistance is described by an elastic energy Ee=e·x2 resulting from the price deviation x from an initial value and the momentum trading by the potential energy Ep=−b·y in a price gradient y field. The distribution of price fluctuation (P(y)) is symmetric and shows a long time tail compatible over some range with a power-law, P(y)∼y−μ with μ≃4 at e=1.0,b=5. The volatility auto-correlation function (c(τ)) is positive for several iterations.

Keywords: Monte Carlo methods; Stock market; Power laws; Volatility (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437100004969
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

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:289:y:2001:i:1:p:223-228

DOI: 10.1016/S0378-4371(00)00496-9

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().