EFFECTS OF TECHNICAL TRADERS IN A SYNTHETIC STOCK MARKET

M. Bernaschi () and F. Castiglione ()
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M. Bernaschi: "Istituto Applicazioni Calcolo" CNR V. le Policlinico 137, 00161, Rome, Italy
F. Castiglione: Center of Applied Computer Science, University of Cologne, Weyertal 80, D-50931 Köln, Germany;

International Journal of Modern Physics C (IJMPC), 2000, vol. 11, issue 07, 1437-1454

Abstract: In Ref. 1, a new model for the description of the financial markets dynamics has been proposed. Traders move on a two dimensional lattice and interact by means of mechanisms of mutual influence. In the present paper, we present results from large-scale simulations of the same model enhanced by the introduction of rational traders modeled as moving-averages followers. The dynamics now accounts for log-normal distribution of volatility which is consistent with some observation of real financial indexes7at least for the central part of the distribution.

Keywords: Financial Market; Lattice-Gas; Technical Traders; Volatility; Collective Analysis; Parallel Computing (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1142/S0129183100001255

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