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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Item Type: Article
Citations: 14 (Google Scholar) | 8 (Web of Science)
Uncontrolled Keywords: financial market simulaton Monte Carlo method
Subjects:
  • 93-XX Systems theory; control > 93Exx Stochastic systems and control > 93E99 None of the above, but in this section

  • 91-XX Game theory, economic, social and behavioral sciences > 91Bxx Mathematical economics > 91B60 General economic models, trade models

  • 65-XX Numerical analysis > 65Cxx Probabilistic methods, simulation and stochastic differential equations > 65C05 Monte Carlo methods

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    Divisions: Institute of Computer Science > Computer Science Department - Prof. Dr. Schrader
    Mathematical Institute > Prof. Dr. Faigle
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    Deposit Information:
    ZAIK Number: zaik2000-397
    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