Journal of Mathematical Finance

Volume 9, Issue 4 (November 2019)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

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Price Dynamics under the Information-Based Dealer Model

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DOI: 10.4236/jmf.2019.94037    109 Downloads   258 Views  

ABSTRACT

We investigate the stochastic behavior of the transaction price process formed by the information-based dealer model. We extend two-agent model of Nadi Serhan Aydın to multi-agent case to see the effect of the market size and noise correlations. Applying the Monte Carlo method, our numerical findings are summarized as 1) volatility of the transaction price depends on both of the noise correlation and the market size, 2) the price process has a long term memory and its Hurst extend depends on both of the noise correlation and the market size.

Cite this paper

Fukuda, K. , Kondo, K. and Takada, H. (2019) Price Dynamics under the Information-Based Dealer Model. Journal of Mathematical Finance, 9, 726-746. doi: 10.4236/jmf.2019.94037.

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