Volume 40, Number 5, December I 1997
|Page(s)||479 - 484|
|Published online||01 September 2002|
A prototype model of stock exchange
Istituto Nazionale di Fisica
della Materia (INFM ) Sezione di Trieste and SISSA Trieste, Italy
Department of Theoretical Physics, The University -
M13 9PL Manchester, UK
2 Institut de Physique Théorique, Université de Fribourg Pérolles, Fribourg CH-1700, Switzerland
Accepted: 20 October 1997
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate their assets by speculating on the price's fluctuations which are produced by themselves. The model reproduced rather realistic price histories whose statistical properties are also similar to those observed in real markets.
PACS: 01.75.+m – Science and society / 02.50.Le – Decision theory and game theory / 05.40.+j – Fluctuation phenomena, random processes, and Brownian motion
© EDP Sciences, 1997
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