The Opinion Game: Stock price evolution from microscopic market modelling

Anton Bovier, Jiri Cerny and Ostap Hryniv

Papers from arXiv.org

Abstract: We propose a class of Markovian agent based models for the time evolution of a share price in an interactive market. The models rely on a microscopic description of a market of buyers and sellers who change their opinion about the stock value in a stochastic way. The actual price is determined in realistic way by matching (clearing) offers until no further transactions can be performed. Some analytic results for a non-interacting model are presented. We also propose basic interaction mechanisms and show in simulations that these already reproduce certain particular features of prices in real stock markets.

Date: 2004-01
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