DIFFUSION AND AGGREGATION IN AN AGENT BASED MODEL OF STOCK MARKET FLUCTUATIONS

FILIPPO CASTIGLIONE
2000 International Journal of Modern Physics C  
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a strategy chosen from a proportional voting "dominated" by a leader's decision. The interplay of both kind of agents gives rise to complex price dynamics that is consistent with the main stylized facts of financial time series.
doi:10.1142/s0129183100000754 fatcat:7o2xbcq6uzdmjpqmfuex2ow32y