Simulation modeling of stock markets

Abstract


In the framework of microscopic simulation a mathematical model of the stock exchange is developed in the case of one type of shares. The model exhibits self-maintained trading which results in the price formation which is sensitive only to the values of internal market parameters. The main statistical properties of the resulting price time series which are similar to the real stock time series are consistent with so-called stylized facts of real market data. The program Exchange simulation which is a computer representation of our model is developed and implemented.


About the authors

A. A. Steryakov

Samara State Aerospace University

Author for correspondence.
Email: lubopitnij@mail.ru

Russian Federation

Post-graduate Student of Physics Department

References

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