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
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:086412

DOI: 10.1155/JAMSA/2006/86412

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