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

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

2000-06-29

arxiv.org/abs/cond-mat/0006463v1

Physics

Condensed Matter

Statistical Mechanics

17 pages, 8 figures (accepted for publication in Int. J. Mod. Phys. C)

Scientific paper

10.1142/S0129183100000754

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.

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