Dynamic Financial Market Model and Its Consequences

2011 ◽  
Author(s):  
Bohumil Stádník
Keyword(s):  
Financial Market ◽  
Market Model

A financial market model with confirmation bias

2019 ◽  
Vol 51 ◽  
pp. 252-259 ◽  
Author(s):  
Alessia Cafferata ◽  
Fabio Tramontana
Keyword(s):  
Financial Market ◽  
Confirmation Bias ◽  
Market Model

Principles for modelling financial markets

1996 ◽  
Vol 33 (03) ◽  
pp. 601-613 ◽  
Author(s):  
Eckhard Platen ◽  
Rolando Rebolledo
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Real World ◽  
Market Model ◽  
Rate Of Return ◽  
Probability Measures ◽  
Market Clearing ◽  
The Difference ◽  
Risk Free Rate ◽  
Free Rate

The paper introduces an approach focused towards the modelling of dynamics of financial markets. It is based on the three principles of market clearing, exclusion of instantaneous arbitrage and minimization of increase of arbitrage information. The last principle is equivalent to the minimization of the difference between the risk neutral and the real world probability measures. The application of these principles allows us to identify various market parameters, e.g. the risk-free rate of return. The approach is demonstrated on a simple financial market model, for which the dynamics of a virtual risk-free rate of return can be explicitly computed.

scholarly journals TRANSACTION COSTS INFLUENCE ON THE STABILITY OF FINANCIAL MARKET: AGENT-BASED SIMULATION

2013 ◽  
Vol 14 (Supplement_1) ◽  
pp. S1-S12 ◽  
Author(s):  
Roman Šperka ◽  
Marek Spišák
Keyword(s):  
Transaction Costs ◽  
Financial Market ◽  
Positive Impact ◽  
State Theory ◽  
Market Model ◽  
Agent Based Simulation ◽  
Trading Rules ◽  
Agent Based ◽  
Market Stability ◽  
Financial Market Stability

We implement an agent-based simulation of financial market model. Agent-based simulations are used nowadays as an alternative to the traditional models, based on predetermined equilibrium state theory. Agent technology brings some kind of local intelligence and rational expectations to the decision support system of financial market participants. Agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators and they may decide to change their trading behaviour. If a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in recent past, the probability that the technical trader switches to the fundamental trading rules is relatively high. In particular the influence of transaction costs is studied in this paper. Transaction costs can be increased by the off-market regulation (for example in the form of taxes) on financial market stability, by overall volume of trade and other market characteristics. The paper shows a positive impact of suitable transaction costs on the financial market stability in the long run.

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