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A Continuous Time Asynchronous Model of the Stock Market; Beyond the LLS Model

M. Shatner·L. Muchnik·M. Leshno·S. Solomon
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Abstract

In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real stock markets. Each trader has a unique decision function, which allows him/ her to trade at any time, to react to external news, to respond to price changes (or volume, volatility, etc.), and to consider the "fundamental price". As a simple example we consider three "generic" decision functions, which correspond to three trader profiles: Noisy, Fundamentalist and Chartist.

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M. Shatner, L. Muchnik, M. Leshno, S. Solomon. 2000-05-25. A Continuous Time Asynchronous Model of the Stock Market; Beyond the LLS Model. https://arxiv.org/abs/cond-mat/0005430

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