Life in the Stockmarket - a Realistic Model for Trading
Fabio Franci, Lorenzo Matassini
Abstract
We propose a frustrated and disordered many-body model of a stockmarket in which independent adaptive traders can trade a stock subject to the economic law of supply and demand. We show that the typical scaling properties and the correlated volatility arise as a consequence of the collective behavior of agents: With their interaction they determine a price which in turn affects their future way of investing. We introduce only one type of investors, since they all share the same hope: They simply want to maximize the profit minimizing the risk. The best utilization of resources occurs at a critical point characterized by the transition between the excess-demand and the excess-supply phases.
Create a lesson
Related papers
Real-Space renormalization for the drawups and drawdowns of stochastic trajectories: universality classes for diffusion processes and random walks via the scale function
Cecile Monthus
Stochastic synthesis and degradation of arbitrary diffusive processes
Denis Boyer, Gabriel Mercado-Vásquez
Critical amplitudes of the Baxter-Wu model from MCPA and Wolff simulations: free-exponent and fixed-exponent fits
Vyacheslav Mozolenko, Ian Pile, Lev Shchur
Capillary Coarsening Drives Re-entrant Statistical Transitions in Early Coffee-Ring Growth
Arundas Chandradasan, Dileep Mampallil
Maximum entropy explanation for the ubiquity of power-law mechanical responses
Sverre Holm
Thermodynamic Bethe Ansatz for the Toda chain from inverse scattering transform
Alberto Brollo