| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480687 | Physica A: Statistical Mechanics and its Applications | 2012 | 6 Pages |
Abstract
⺠We study the simplest market model incorporating standard folklore on price formation. ⺠Trading inherently leads to instability of prices. ⺠The market self-organizes into a Pareto wealth distribution. ⺠The market self-organizes into a scale-free volume distribution concomitant with non-Gaussian price fluctuations. ⺠The tail-index of the distribution of returns depends on the activity of the traders.
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
M. Ebert, W. Paul,