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A Simple Model For Stocks Markets

Author

Listed:
  • JUAN R. SANCHEZ

    (Departamento de Física, Facultad de Ingeniería, Universidad Nacional de Mar del Plata, Av. J.B. Justo 4302, 7600 Mar del Plata, Argentina)

Abstract

A new model for stock markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how the behavior of the noise and fundamentalists traders can be taken into account simultaneously in the time evolution of each stock price. The simulated time series generated by the model is analyzed in different ways order to compare parameters with those of real markets.

Suggested Citation

  • Juan R. Sanchez, 2002. "A Simple Model For Stocks Markets," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 13(05), pages 639-644.
    • Handle: RePEc:wsi:ijmpcx:v:13:y:2002:i:05:n:s0129183102003413
    DOI: 10.1142/S0129183102003413
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    Cited by:

    1. Tetsuya Takaishi, 2009. "An Adaptive Markov Chain Monte Carlo Method for GARCH Model," Papers 0901.0992, arXiv.org.
    2. Tetsuya Takaishi, 2014. "Analysis of Spin Financial Market by GARCH Model," Papers 1409.0118, arXiv.org.

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