BOVIER, ANTON; ČERNÝ, JIŘÍ; HRYNIV, OSTAP - In: International Journal of Theoretical and Applied … 09 (2006) 01, pp. 91-111
We propose a class of Markovian agent based models for the time evolution of a share price in an interactive market. The models rely on a microscopic description of a market of buyers and sellers who change their opinion about the stock value in a stochastic way. The actual price is determined...