The Values Distribution in a Competing Shares Financial Market Model
arXiv:cond-mat/9911428 · doi:10.1063/1.1291643
Abstract
We present our competing shares financial market model and describe its behaviour by numerical simulation. We show that in the critical region the distribution avalanches of the market value as defined in this model has a power-law distribution with exponent around 2.3. In this region the price returns distribution is truncated Levy stable with exponent near the observed value.
arXiv comment7 pages ps file with 6 eps figures. Latex source file. To appear in Proceedings of Third Tohwa University Conference on Statistical Physics, Japan, Nov.1999