THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING

DOI10.1142/S0219024906003421zbMath1131.91021arXivcond-mat/0401422OpenAlexW1954392685MaRDI QIDQ3379412

Anton Bovier, Ostap Hryniv, Jiří Černý

Publication date: 6 April 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0401422

zbMATH Keywords

stochastic dynamicsstatistical mechanicsfinancial markets

Mathematics Subject Classification ID

Applications of game theory (91A80) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (3)

Probabilistic aspects of finance ⋮ Modelling high-frequency limit order book dynamics with support vector machines ⋮ Order execution probability and order queue in limit order markets

Cites Work

• The Pricing of Options and Corporate Liabilities
• Auctions as algorithms. Computerized trade execution and price discovery
• Order flow and the bid-ask spread: an empirical probability model of screen-based trading
• Market Behavior in a Clearing House
• Stock price fluctuation as a diffusion in a random environment

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