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Wealth dynamics in a sentiment-driven market

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  • Mikhail Goykhman

Abstract

We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty, and the trading intensity of all or a part of the market participants. We study how the wealth of market participants evolves in time in such an environment. We discuss the opposite perspective in which the parameters of the sentiment processes can be inferred a posteriori from the observed market behavior.

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  • Mikhail Goykhman, 2017. "Wealth dynamics in a sentiment-driven market," Papers 1705.07092, arXiv.org.
    • Handle: RePEc:arx:papers:1705.07092
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    Cited by:

    1. Mikhail Goykhman & Ali Teimouri, 2017. "Machine learning in sentiment reconstruction of the simulated stock market," Papers 1708.01897, arXiv.org.
    2. Linda Ponta & Silvano Cincotti, 2018. "Traders’ Networks of Interactions and Structural Properties of Financial Markets: An Agent-Based Approach," Complexity, Hindawi, vol. 2018, pages 1-9, January.

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