Kondo, K., Takada, H. and Fukuda, K. (2019) Information-Based Approach for Dealer Model (In Japanese). RIMS Kokyuroku 2111, Research Institute for Mathematical Sciences, Kyoto University, Kyoto, Japan, 45-64.

has been cited by the following article:

• TITLE: Price Dynamics under the Information-Based Dealer Model

  AUTHORS: Kenta Fukuda, Kaichi Kondo, Hideyuki Takada

  KEYWORDS: Information-Based Approach, Dealer Model, Long Term Memory

  JOURNAL NAME: Journal of Mathematical Finance, Vol.9 No.4, November 14, 2019

  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 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.