Effect of trading momentum and price resistance on stock market dynamics: a Glauber Monte Carlo simulation

DOI10.1016/S0378-4371(00)00496-9zbMath0971.91502OpenAlexW1995041446WikidataQ127029395 ScholiaQ127029395MaRDI QIDQ1588864

Ras B. Pandey, Filippo Castiglione, Dietrich Stauffer

Publication date: 5 December 2000

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(00)00496-9

zbMATH Keywords

elastic energyprice fluctuation distributionvolatility auto-correlation function

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (4)

EFFECTS OF TECHNICAL TRADERS IN A SYNTHETIC STOCK MARKET ⋮ ASYMMETRIES, CORRELATIONS AND FAT TAILS IN PERCOLATION MARKET MODEL ⋮ Ising-correlated clusters in the Cont-Bouchaud stock market model ⋮ Stochastic multiplicative processes for financial markets

Cites Work

• CRASHES AS CRITICAL POINTS
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS

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