Equation-based model for the stock market.
Phys Rev E
; 96(3-1): 032305, 2017 Sep.
Article
em En
| MEDLINE
| ID: mdl-29346931
We propose a stock market model which is investigated in the forms of difference and differential equations whose variables correspond to the demand or supply of each agent and to the price. In the model, agents are driven by the behavior of their trust contact network as well by fundamental analysis. By means of the deterministic version of the model, the connection between such drive mechanisms and the price is analyzed: imitation behavior promotes market instability, finitude of resources is associated to stock index stability, and high sensitivity to the fair price provokes price oscillations. Long-range correlations in the price temporal series and heavy-tailed distribution of returns are observed for the version of the model which considers different proposals for stochasticity of microeconomic and macroeconomic origins.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Tipo de estudo:
Prognostic_studies
Idioma:
En
Revista:
Phys Rev E
Ano de publicação:
2017
Tipo de documento:
Article
País de afiliação:
Brasil
País de publicação:
Estados Unidos