Bibliographic Details
| Title: |
Effects of Technical Traders in a Synthetic Stock Market. |
| Authors: |
Bernaschi, M., Castiglione, F. |
| Source: |
International Journal of Modern Physics C: Computational Physics & Physical Computation. Oct2000, Vol. 11 Issue 7, p1437. 18p. |
| Subjects: |
Stock exchanges, Finance |
| Abstract: |
In Ref. 1, a new model for the description of the financial markets dynamics has been proposed. Traders move on a two dimensional lattice and interact by means of mechanisms of mutual influence. In the present paper, we present results from large-scale simulations of the same model enhanced by the introduction of rational traders modeled as moving-averages followers. The dynamics now accounts for log-normal distribution of volatility which is consistent with some observation of real financial indexes at least for the central part of the distribution. [ABSTRACT FROM AUTHOR] |
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| Database: |
Engineering Source |
