A Continuous Time Asynchronous Model of the Stock Market ; Beyond the LLS Model

@inproceedings{Shatner2000ACT,
  title={A Continuous Time Asynchronous Model of the Stock Market ; Beyond the LLS Model},
  author={M. Shatner and L. Mushnik and Moshe Leshno and Steve Solomon},
  year={2000}
}
In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real stock markets. Each trader has a unique decision function, which allows him/ her to trade at any time, to react to external news, to respond to price changes (or volume , volatility, etc.), and to consider the " fundamental price ". As a simple example we… CONTINUE READING