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The Influence of the Number of Different Stocks on the Levy–Levy–Solomon Model

R. Kohl ()
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R. Kohl: Institute for Theoretical Physics, Cologne University, 50923 Köln, Germany

International Journal of Modern Physics C (IJMPC), 1997, vol. 08, issue 06, 1309-1316

Abstract: The stock market model of Levy, Levy, Solomon is simulated for more than one stock to analyze the behavior for a large number of investors. Small markets can lead to realistic looking prices for one and more stocks. A large number of investors leads to a semi-regular fashion simulating one stock. For many stocks, three of the stocks are semi-regular and dominant, the rest is chaotic. Aside from that we changed the utility function and checked the results.

Keywords: Monte Carlo; Chaos; Market Fluctuations (search for similar items in EconPapers)
Date: 1997
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