Heterogeneous agents model for stock market dynamics: role of market leaders and fundamental prices

Janusz A. Hołyst () and Arkadiusz Potrzebowski
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Janusz A. Hołyst: Warsaw University of Technology
Arkadiusz Potrzebowski: Warsaw University of Technology

A chapter in Practical Fruits of Econophysics, 2006, pp 189-193 from Springer

Abstract: Summary We have developed a microscopic model of interacting agents where agents buy or sell shares depending on the information they get from neighbours and a relation of a temporary price to a fundamental price. Depending on the magnitude of the noise present in the system (magnitude of market temperature) prices oscillate between the bull and the bear phases or around a mean fundamental value. The oscillation period can be calculated from a mean field theory. A very influencial investor (market leader) does not get larger profits than a typical one. A crucial role for profits is played by a coupling constant to a fundamental price.

Keywords: multi-agents models; stock market (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_34

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DOI: 10.1007/4-431-28915-1_34

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