A SIMPLE MODEL FOR STOCKS MARKETS

Juan R. Sanchez ()
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Juan R. Sanchez: Departamento de Física, Facultad de Ingeniería, Universidad Nacional de Mar del Plata, Av. J.B. Justo 4302, 7600 Mar del Plata, Argentina

International Journal of Modern Physics C (IJMPC), 2002, vol. 13, issue 05, 639-644

Abstract: A new model for stock markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how the behavior of the noise and fundamentalists traders can be taken into account simultaneously in the time evolution of each stock price. The simulated time series generated by the model is analyzed in different ways order to compare parameters with those of real markets.

Keywords: Econophysics; market models; Monte Carlo simulation (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1142/S0129183102003413

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