کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
976801 933154 2007 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Properties of the wealth process in a market microstructure model
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Properties of the wealth process in a market microstructure model
چکیده انگلیسی
In this short paper we define the wealth process in a spin model for market microstructure, for individual agents and in aggregate. The agents in our model try to balance their desire to belong to the local majority (herding behavior), defined over random network neighborhoods, and the occasional advantage of belonging to the global minority (contrarian trading). We arrive at a classification of the martingale properties of this wealth process and use it to determine the strategic stability of the agents' interactions. Our goal is to add a behavioral interpretation to this stochastic agent-based model for market fluctuations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 378, Issue 2, 15 May 2007, Pages 443-452
نویسندگان
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