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Effects of Technical Traders in a Synthetic Stock Market.

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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]
Copyright of International Journal of Modern Physics C: Computational Physics & Physical Computation is the property of World Scientific Publishing Company and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Engineering Source
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PubType: Academic Journal
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  Data: Effects of Technical Traders in a Synthetic Stock Market.
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  Data: <searchLink fieldCode="DE" term="%22Stock+exchanges%22">Stock exchanges</searchLink><br /><searchLink fieldCode="DE" term="%22Finance%22">Finance</searchLink>
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  Data: 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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  Data: <i>Copyright of International Journal of Modern Physics C: Computational Physics & Physical Computation is the property of World Scientific Publishing Company and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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              Text: Oct2000
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