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Finite-size effects in Monte Carlo simulations of two stock market models

Author

Listed:
  • Egenter, E.
  • Lux, T.
  • Stauffer, D.

Abstract

The microscopic market models of Kim–Markowitz and of Lux–Marchesi are simulated for varying number of investors. If this number goes to infinity, in some quantities nearly periodic oscillations occur.

Suggested Citation

  • Egenter, E. & Lux, T. & Stauffer, D., 1999. "Finite-size effects in Monte Carlo simulations of two stock market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 268(1), pages 250-256.
    • Handle: RePEc:eee:phsmap:v:268:y:1999:i:1:p:250-256
    DOI: 10.1016/S0378-4371(99)00059-X
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