Volatility driven market in a generalized Lotka-Volterra formalism

DOI10.1016/S0378-4371(01)00466-6zbMath0993.91013arXivcond-mat/0109493MaRDI QIDQ5951433

Yoram Louzoun, Sorin Solomon

Publication date: 6 January 2002

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0109493

zbMATH Keywords

Pareto lawauto-correlationsgeneralized Lotka-Volterra formalismmarket price volatilitymultiplicative random factornon-trivial feedback loopvariance of the investors wealth

Mathematics Subject Classification ID

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

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From a stochastic model of economic exchange to measures of inequality ⋮ Generalized persistence probability in a dynamic economic index ⋮ OPTIMAL DIRECTED CURRENT OF A BROWNIAN MOTOR UNDER A NON-GAUSSIAN NOISE GENERATED BY A MULTIPLICATIVE PROCESS

Cites Work

• Decision technologies for computational finance. Proceedings of the fifth international conference computational finance, London, GB, December 1997.
• A microscopic model of the stock market: cycles, booms, and crashes
• Economics with heterogeneous interacting agents

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