Diffusion and Aggregation in an Agent Based Model of Stock Market Fluctuations

Castiglione, Filippo (2000) Diffusion and Aggregation in an Agent Based Model of Stock Market Fluctuations.
Published in: International journal of modern physics : C, Physics and computers Vol. 11 (5). pp. 865-879.


We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a strategy chosen from a proportional voting ''dominated'' by a leader's decision. The interplay of both kind of agents gives rise to complex price dynamics that is consistent with the main stylized facts of financial time series. The present model incorporates many features of other known models and is meant to be the first step toward the construction of an agent-based model that uses more realistic markets rules, strategies, and information structures.

Download: [img] Postscript - Preprinted Version
Download (2MB) | Preview
Editorial actions: View Item View Item (Login required)
Deposit Information:
ZAIK Number: zaik2000-398
Depositing User: Archive Admin
Date Deposited: 02 Apr 2001 00:00
Last Modified: 19 Dec 2011 09:45
URI: http://e-archive.informatik.uni-koeln.de/id/eprint/398