Wealth dynamics in a sentiment-driven market
Physica A: Statistical Mechanics and its Applications, 2017, vol. 488, issue C, 132-148
We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty, and the trading intensity of all or a part of the market participants. We study how the wealth of market participants evolves in time in such an environment. We discuss the opposite perspective in which the parameters of the sentiment processes can be inferred a posteriori from the observed market behavior.
Keywords: Market microstructure; Artificial stock market; Agent-based market model (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:488:y:2017:i:c:p:132-148
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