Effect of Trading Momentum and Price Resistance on Stock Market Dynamics: A Glauber Monte Carlo Simulation
Castiglione, Filippo and Pandey, Ras B. and Stauffer, Dietrich
(2001)
Effect of Trading Momentum and Price Resistance on Stock Market Dynamics: A Glauber Monte Carlo Simulation.
Published in:
Physica : europhysics journal ; A, Statistical mechanics and its applications Vol. 289 (1-2).
pp. 223-228.
Abstract
A Monte Carlo computer simulation model is presented to study the evolution of stock price and the distribution of price fluctuation. The resistance is described by an elastic energy E_e = e cdot x^2 resulting from the price deviation x from an initial value and the momentum trading by the potential energy E_p = - b cdot y in a price gradient y field. The distribution of price fluctuation (P(y)) is symmetric and shows a long time tail compatible over some range with a power-law, P(y) sim y^{-mu} with mu simeq 4 at e = 1.0, , b = 5. The volatility auto-correlation function (c( au)) is positive for several iterations.
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ZAIK Number: | zaik2000-397 |
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Depositing User: | Archive Admin |
Date Deposited: | 02 Apr 2001 00:00 |
Last Modified: | 16 Jan 2012 13:14 |
URI: | http://e-archive.informatik.uni-koeln.de/id/eprint/397 |