Price drops, fluctuations, and correlation in a multi-agent model of stock markets

DOI10.1016/S0378-4371(02)01213-XzbMath1001.91039arXivcond-mat/0204574OpenAlexW2036379626MaRDI QIDQ1847458

R. Karádi, A. G. Zawadowski, János Kertész

Publication date: 26 November 2002

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0204574

zbMATH Keywords

fluctuation-dissipation theoremspontaneous decayLux-Marchesi model

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Reaction to Extreme Events in a Minimal Agent Based Model ⋮ Short-term market reaction after extreme price changes of liquid stocks

Cites Work

• Elements for a theory of financial risks
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Empirical properties of asset returns: stylized facts and statistical issues

This page was built for publication: Price drops, fluctuations, and correlation in a multi-agent model of stock markets