dorsal/arxiv
View SchemaStock price fluctuations and the mimetic behaviors of traders
| Authors | Jun-ichi Maskawa |
|---|---|
| Categories | |
| ArXiv ID | physics/0607202 |
| URL | https://arxiv.org/abs/physics/0607202 |
| DOI | 10.1016/j.physa.2007.02.017 |
Abstract
We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual markets shows the power-law tail of the distribution of returns with the exponent outside the Levy stable region, the short memory of returns and the long memory of volatilities. The Hurst exponent of our model is asymptotically 1/2. An explanation is also given for the profile of the autocorrelation function, which is responsible for the value of the Hurst exponent.
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"abstract": "We give a stochastic microscopic modelling of stock markets driven by\ncontinuous double auction. If we take into account the mimetic behavior of\ntraders, when they place limit order, our virtual markets shows the power-law\ntail of the distribution of returns with the exponent outside the Levy stable\nregion, the short memory of returns and the long memory of volatilities. The\nHurst exponent of our model is asymptotically 1/2. An explanation is also given\nfor the profile of the autocorrelation function, which is responsible for the\nvalue of the Hurst exponent.",
"arxiv_id": "physics/0607202",
"authors": [
"Jun-ichi Maskawa"
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"physics.comp-ph",
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"doi": "10.1016/j.physa.2007.02.017",
"title": "Stock price fluctuations and the mimetic behaviors of traders",
"url": "https://arxiv.org/abs/physics/0607202"
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