DIFFUSION AND AGGREGATION IN AN AGENT BASED MODEL OF STOCK MARKET FLUCTUATIONS

Filippo Castiglione ()
Additional contact information
Filippo Castiglione: Center for Applied Computer Science, University of Cologne, Weyertal 80, D-50931 Köln, Germany

International Journal of Modern Physics C (IJMPC), 2000, vol. 11, issue 05, 865-879

Abstract: We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a strategy chosen from a proportional voting "dominated" by a leader's decision. The interplay of both kind of agents gives rise to complex price dynamics that is consistent with the main stylized facts of financial time series. The present model incorporates many features of other known models and is meant to be the first step toward the construction of an agent-based model that uses more realistic markets rules, strategies, and information structures.

Keywords: Financial Market; Agents-Based Models; Lattice Gas; Social Influence; Collective Analysis (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0129183100000754
Access to full text is restricted to subscribers

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:wsi:ijmpcx:v:11:y:2000:i:05:n:s0129183100000754

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0129183100000754

Access Statistics for this article

International Journal of Modern Physics C (IJMPC) is currently edited by H. J. Herrmann

More articles in International Journal of Modern Physics C (IJMPC) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().