The Opinion Game: Stock price evolution from microscopic market modelling Export

@article{citeulike:5793106, 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 simple special cases 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.}, author = {Bovier, Anton}, citeulike-article-id = {5793106}, journal = {International Journal of Theoretical and Applied Finance}, keywords = {hf}, posted-at = {2009-09-16 20:32:06}, priority = {2}, title = {The Opinion Game: Stock price evolution from microscopic market modelling} }

TY - JOUR ID - citeulike:5793106 L3 - citeulike-article-id:5793106 N2 - 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 simple special cases 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. JF - International Journal of Theoretical and Applied Finance TI - The Opinion Game: Stock price evolution from microscopic market modelling KW - hf AU - Bovier, Anton ER -