اثر حرکت تجاری و مقاومت قیمت بر روی پویایی بازار سهام: شبیه سازی گلوبر مونت کارلو

A Monte Carlo computer simulation model is presented to study the evolution of stock price and the distribution of price fluctuation. The resistance is described by an elastic energy Ee=e·x2 resulting from the price deviation x from an initial value and the momentum trading by the potential energy Ep=−b·y in a price gradient y field. The distribution of price fluctuation (P(y)) is symmetric and shows a long time tail compatible over some range with a power-law, P(y)∼y−μ with μ≃4 at e=1.0,b=5. The volatility auto-correlation function (c(τ)) is positive for several iterations.

We thank Alexander von Humboldt Foundation for supporting the visit of RP. FC acknowledges support from Graduiertenkolleg Scientific Computing, Uni-Koeln. We thank Paulo Murilo de Oliveira for a critical reading of the manuscript and the supercomputer center in Jülich for hundreds of hours on their Cray-T3E.