Stock market dynamics created by interacting agents
Mohamed Riad Remita and
Karl-Theodor Eisele
International Journal of Stochastic Analysis, 2006, vol. 2006, 1-11
Abstract:
We study a stock market model, consisting in a large number of agents, going eventually to infinity, and evaluate the stock price under the influence of opinions of different agents. Next we study the behavior of prices when the market is very nervous; there appear discontinuities (phase transitions) which can be interpreted as stock market crashes.
Date: 2006
References: Add references at CitEc
Citations:
Downloads: (external link)
http://downloads.hindawi.com/journals/IJSA/2006/086412.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJSA/2006/086412.xml (text/xml)
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:hin:jnijsa:086412
DOI: 10.1155/JAMSA/2006/86412
Access Statistics for this article
More articles in International Journal of Stochastic Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().