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EFFECTS OF TECHNICAL TRADERS IN A SYNTHETIC STOCK MARKET

M. BERNASCHI

"Istituto Applicazioni Calcolo" CNR V. le Policlinico 137, 00161, Rome, Italy

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and

F. CASTIGLIONE

Center of Applied Computer Science, University of Cologne, Weyertal 80, D-50931 Köln, Germany

Dipartimento di Scienze dell'Informazione, University "La Sapienza", Via Salaria 113, I-00198 Rome, Italy

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https://doi.org/10.1142/S0129183100001255Cited by:1 (Source: Crossref)

Abstract

In Ref. 1, a new model for the description of the financial markets dynamics has been proposed. Traders move on a two dimensional lattice and interact by means of mechanisms of mutual influence. In the present paper, we present results from large-scale simulations of the same model enhanced by the introduction of rational traders modeled as moving-averages followers. The dynamics now accounts for log-normal distribution of volatility which is consistent with some observation of real financial indexes⁷ at least for the central part of the distribution.

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