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A prototype model of stock exchange

Caldarelli, Guido and Marsili, Matteo and Zhang, Yi-Cheng A prototype model of stock exchange. EPL (Europhysics Letters), 40 (5). pp. 479-484. ISSN 0295-5075 (1997)

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A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate their assets by speculating on the price's fluctuations which are produced by themselves. The model reproduced rather realistic price histories whose statistical properties are also similar to those observed in real markets.

Item Type: Article
Identification Number: 10.1209/epl/i1997-00491-5
Uncontrolled Keywords: PACS: 02.50.Le Decision theory and game theory; 01.75.+m Science and society
Subjects: Q Science > QC Physics
Research Area: Economics and Institutional Change
Depositing User: Ms T. Iannizzi
Date Deposited: 24 Feb 2012 13:11
Last Modified: 20 Nov 2013 13:15
URI: http://eprints.imtlucca.it/id/eprint/1175

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