WIAS Preprint No. 903, (2004)

The opinion game: Stock price evolution from microscopic market modelling



Authors

  • Bovier, Anton
  • Černý, Jiri
  • Hryniv, Ostap

2010 Mathematics Subject Classification

  • 91B26 60K35 60J20

Keywords

  • Stock prices, financial markets, statistical mechanics, stochastic dynamics

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.

Appeared in

  • Int. J. Theor. Appl. Finance, 9, (2006) pp. 91--111.

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