Complexity models in financial markets

Thomas Landes and Otto Loistl

Applied Stochastic Models and Data Analysis, 1992, vol. 8, issue 3, 209-228

Abstract: In this approach, the complexity of the self‐organizing microstructure of the stock exchange is explicitly taken into consideration: the process of offers and trades as well as the adjustment of individual expectations are modelled with help of a (stochastic) jump process. Its abilities are illustrated by modelling the continuous quotations of asset prices at an auction type stock exchange. The functional form of the transition (hazard) rates is chosen to reflect the individual preferences and expectations as well as the economic environment. The model is described in detail and examples of Monte Carlo simulation results are presented.

Date: 1992
References: View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://doi.org/10.1002/asm.3150080310

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:wly:apsmda:v:8:y:1992:i:3:p:209-228

Access Statistics for this article

More articles in Applied Stochastic Models and Data Analysis from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().