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Stock price fluctuations and the mimetic behaviors of traders

✍ Scribed by Jun-ichi Maskawa

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
279 KB
Volume
382
Category
Article
ISSN
0378-4371

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✦ Synopsis

We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual market shows the power-law tail of the distribution of returns with the exponent outside the Levy stable region, the short memory of returns and the long memory of volatilities. The Hurst exponent of our model is asymptotically 1

2 . An explanation is also given for the profile of the autocorrelation function, which is responsible for the value of the Hurst exponent.

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