TY - JOUR
T1 - Price drops, fluctuations, and correlation in a multi-agent model of stock markets
AU - Zawadowski, Adam G.
AU - Karádi, R.
AU - Kertész, János
PY - 2002/12/15
Y1 - 2002/12/15
N2 - In this paper, we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be observed between the decay of spontaneous fluctuations and changes due to external perturbations reflecting the absence of detailed balance, i.e., of the validity of the fluctuation-dissipation theorem. We found that fundamental price drops are followed by an overshoot with a rather robust characteristic time.
AB - In this paper, we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be observed between the decay of spontaneous fluctuations and changes due to external perturbations reflecting the absence of detailed balance, i.e., of the validity of the fluctuation-dissipation theorem. We found that fundamental price drops are followed by an overshoot with a rather robust characteristic time.
UR - http://www.scopus.com/inward/record.url?scp=0037114588&partnerID=8YFLogxK
U2 - 10.1016/S0378-4371(02)01213-X
DO - 10.1016/S0378-4371(02)01213-X
M3 - Article
AN - SCOPUS:0037114588
SN - 0378-4371
VL - 316
SP - 403
EP - 412
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 1-4
ER -