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Price Dynamics under the Information-Based Dealer Model
Department of Information Sciences, Toho University, Chiba, Japan
Department of Information Sciences, Toho University, Chiba, Japan
Department of Information Sciences, Toho University, Chiba, Japan
- 1 Department of Information Sciences, Toho University, Chiba, Japan
- 2 Department of Information Sciences, Toho University, Chiba, Japan
- 3 Department of Information Sciences, Toho University, Chiba, Japan
Journal of Mathematical Finance·Volume 09 (2019)·Pages 726–746·Published 17 October 2019·DOI10.4236/jmf.2019.94037
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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 Ayd ı n 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.
KeywordsInformation-Based ApproachDealer ModelLong Term Memory
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