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Titolo:
Long scale evolution of a nonlinear stochastic dynamic system for modelingmarket price bubbles
Autore:
Kiselev, SA; Phillips, A; Gabitov, I;
Indirizzi:
CyLogix, Princeton, NJ 08550 USA CyLogix Princeton NJ USA 08550CyLogix, Princeton, NJ 08550 USA Russian Acad Sci, Inst Spect, Troitsk 142092, Moscow Region, Russia Russian Acad Sci Troitsk Moscow Region Russia 142092 oscow Region, Russia Univ Calif Los Alamos Natl Lab, Los Alamos, NM 87545 USA Univ Calif Los Alamos Natl Lab Los Alamos NM USA 87545 amos, NM 87545 USA Russian Acad Sci, LD Landau Theoret Phys Inst, Moscow 117940, Russia Russian Acad Sci Moscow Russia 117940 t Phys Inst, Moscow 117940, Russia
Titolo Testata:
PHYSICS LETTERS A
fascicolo: 1-2, volume: 272, anno: 2000,
pagine: 130 - 142
SICI:
0375-9601(20000717)272:1-2<130:LSEOAN>2.0.ZU;2-D
Fonte:
ISI
Lingua:
ENG
Soggetto:
STOCK-MARKET; BEHAVIOR;
Keywords:
complex dynamics; stochastic processes; theory and models of chaotic systems; non-equilibrium phenomena;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Physical, Chemical & Earth Sciences
Citazioni:
18
Recensione:
Indirizzi per estratti:
Indirizzo: Kiselev, SA CyLogix, Princeton Junct, Princeton, NJ 08550 USA CyLogix Princeton Junct Princeton NJ USA 08550 n, NJ 08550 USA
Citazione:
S.A. Kiselev et al., "Long scale evolution of a nonlinear stochastic dynamic system for modelingmarket price bubbles", PHYS LETT A, 272(1-2), 2000, pp. 130-142

Abstract

This Letter investigates the stochastic dynamics of a simplified agent-based microscopic model describing stock market evolution. Our mathematical model includes a stochastic market and a sealed-bid double auction. The dynamics of the model are determined by the game of two types of traders: (i) 'intelligent' traders whose strategy is based on nonlinear technical data analysis' and (ii) 'random' traders that act without a consistent strategy. Wedemonstrate the effect of time-scale separations on the market dynamics. We study the characteristics of the market relaxation in response to perturbations caused by large cash flows generated between these two groups of traders. We also demonstrate that our model exhibits the formation of a price bubble(2) and the subsequent transition to a bear market(3). (C) 2000 Published by EIsevier Science B.V.

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Documento generato il 20/09/20 alle ore 09:49:50