Author(s)

Kenta Fukuda, Kaichi Kondo, Hideyuki Takada

Department of Information Sciences, Toho University, Chiba, Japan.

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.

Information-Based Approach, Dealer Model, Long Term Memory

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.