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Stock price fluctuations and the mimetic behaviors of traders

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  • Maskawa, Jun-ichi

Abstract

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

Suggested Citation

  • Maskawa, Jun-ichi, 2007. "Stock price fluctuations and the mimetic behaviors of traders," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 172-178.
    • Handle: RePEc:eee:phsmap:v:382:y:2007:i:1:p:172-178
    DOI: 10.1016/j.physa.2007.02.017
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    Cited by:

    1. Bill McKelvey & Benyamin B. Lichtenstein & Pierpaolo Andriani, 2012. "When organisations and ecosystems interact: toward a law of requisite fractality in firms," International Journal of Complexity in Leadership and Management, Inderscience Enterprises Ltd, vol. 2(1/2), pages 104-136.
    2. Ryo Murakami & Tomomichi Nakamura & Shin Kimura & Masashi Manabe & Toshihiro Tanizawa, 2014. "On possible origins of trends in financial market price changes," Papers 1406.5276, arXiv.org, revised Nov 2014.
    3. Jun-ichi Maskawa, 2016. "Collective Behavior of Market Participants during Abrupt Stock Price Changes," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-18, August.
    4. Ichiki, Shingo & Nishinari, Katsuhiro, 2015. "Simple stochastic order-book model of swarm behavior in continuous double auction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 304-314.
    5. Murakami, Ryo & Nakamura, Tomomichi & Kimura, Shin & Manabe, Masashi & Tanizawa, Toshihiro, 2015. "On possible origins of trends in financial market price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 179-189.
    6. M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey, 2016. "A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks," Papers 1601.04188, arXiv.org.
    7. Shingo Ichiki & Katsuhiro Nishinari, 2014. "Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction," Papers 1411.2215, arXiv.org.

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