Lev Muchnik and Sorin Solomon 2003 Phys. Scr. 2003 41 doi:10.1238/Physica.Topical.106a00041
Lev Muchnik and Sorin Solomon
Show affiliationsWe describe the main idea and the conceptual architecture of a platform for simulating a large number of asynchronously interacting agents in continuous time. We show how the generic capabilities of the platform apply to the simulation of realistic stock market interactions. A particular example of a very dramatic market event that took place in Financial Times Stock Exchange (FTSE) on September 20, 2002 is used to uncover the parameters characterizing the classical investor types within the market. The simple microscopic rules governing the individual agents behavior are shown to result in a collective market behavior similar to the one of a damped harmonic oscillator. Specifically, the aggregated influence of the fundamentalist traders is formally related to Hooke's law while the behavior of the trend followers corresponds to inertia and viscous friction forces.
89.65.Gh Economics; econophysics, financial markets, business and management
Issue T106 (2003)
Received 2 April 2003, accepted for publication 7 April 2003
Lev Muchnik and Sorin Solomon 2003 Phys. Scr. 2003 41
Paolo Amore et al 2009 J. Phys. A: Math. Theor. 42 115302
M G Beiró et al 2008 New J. Phys. 10 125003
J A Behr and G Gwinner 2009 J. Phys. G: Nucl. Part. Phys. 36 033101
Z W Xu et al 2009 J. Micromech. Microeng. 19 054003
The ATLAS Collaboration et al 2008 JINST 3 S08003
C. H. Chen and M. Jura 2001 ApJ 560 L171
Changqing Yi et al 2007 Nanotechnology 18 025102
Ken Hsieh et al JHEP12(2006)067
C. H. Chen et al. 2005 ApJ 634 1372