A Continuous Time Approximation of an Evolutionary Stock Market Model

2004 ◽  
Author(s):  
Stefan Weber ◽  
Boris Buchmann
Keyword(s):  
Stock Market ◽  
Continuous Time ◽  
Market Model ◽  
Time Approximation

A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL

2007 ◽  
Vol 10 (07) ◽  
pp. 1229-1253 ◽  
Author(s):  
BORIS BUCHMANN ◽  
STEFAN WEBER
Keyword(s):  
Integral Equation ◽  
Continuous Time ◽  
Lyapunov Functions ◽  
Asset Returns ◽  
Market Model ◽  
Market Selection ◽  
Time Approximation ◽  
Long Run ◽  
Payoff Structure ◽  
Autonomous Ordinary Differential Equation

We derive a continuous time approximation of the evolutionary market selection model of Blume and Easley (1992). Conditions on the payoff structure of the assets are identified that guarantee convergence. We show that the continuous time approximation equals the solution of an integral equation in a random environment. For constant asset returns, the integral equation reduces to an autonomous ordinary differential equation. We analyze its long-run asymptotic behavior using techniques related to Lyapunov functions, and compare our results to the benchmark of profit-maximizing investors.

New Stock Market Model

1997 ◽  
Author(s):  
Brian NMI Thomas
Keyword(s):  
Stock Market ◽  
Market Model

A Stock Market Model

2008 ◽  
Author(s):  
Myron J. Gordon ◽  
Suresh Sethi
Keyword(s):  
Stock Market ◽  
Market Model

THE INFLUENCE OF INVESTOR NUMBER ON A MICROSCOPIC MARKET MODEL

1996 ◽  
Vol 06 (06) ◽  
pp. 845-852 ◽  
Author(s):  
T. HELLTHALER
Keyword(s):  
Stock Market ◽  
Market Model

The stock market model of Levy, Persky, Solomon is simulated for much larger numbers of investors. While small markets can lead to realistically looking prices, the resulting prices of large markets oscillate smoothly in a semi-regular fashion.

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