Effect of Trading Momentum and Price Resistance on Stock Market Dynamics: A Glauber Monte Carlo Simulation
Physics and Astronomy
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 E-e = e.x(2) resulting from the price deviation x from an initial value and the momentum trading by the potential energy E-p = -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, Ply) similar to y(-mu) with mu similar or equal to 4 at e = 1.0, b = 5. The volatility auto-con-elation function (c(tau)) is positive for several iterations. (C) 2001 Elsevier Science B.V. All rights reserved.
Physica A: Statistical Mechanics and its Applications
Pandey, R. B.,
(2001). Effect of Trading Momentum and Price Resistance on Stock Market Dynamics: A Glauber Monte Carlo Simulation. Physica A: Statistical Mechanics and its Applications, 289(1-2), 223-228.
Available at: http://aquila.usm.edu/fac_pubs/4007