Stock market dynamics created by interacting agents
type: Item
instance of: scholarly article
title: Stock market dynamics created by interacting agents
zbMATH Open document ID: 1300.91029
DOI: 10.1155/JAMSA/2006/86412
author: Mohamed Riad Remita
author: Karl-Theodor Eisele
published in: Journal of Applied Mathematics and Stochastic Analysis
publication date: 2007-09-10T00:00:00Z
review text: Summary: We study a stock market model, consisting in a large number of agents, going eventually to infinity, and evaluate the stock price under the influence of opinions of different agents. Next we study the behavior of prices when the market is very nervous; there appear discontinuities (phase transitions) which can be interpreted as stock market crashes.
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91G99
zbMATH DE Number: 5189228
MaRDI profile type: Publication
cites work: The pricing of options and corporate liabilities
cites work: A Microeconomic Approach to Diffusion Models For Stock Prices
cites work: Martingales and stochastic integrals in the theory of continuous trading
description: scientific article; zbMATH DE number 5189228