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Escaping the Brownian stalkers


 
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1. Title Title of document Escaping the Brownian stalkers
 
2. Creator Author's name, affiliation, country Alexander Weiss; Weierstrass Institute for Applied Analysis and Stochastics, Berlin
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) financial markets; market stability; stochastic dynamics; recurrence; transience
 
3. Subject Subject classification 60J65; 60K10
 
4. Description Abstract We propose a simple model for the behaviour of longterm investors on a stock market. It consists of three particles that represent the stock's current price and the buyers', respectively sellers', opinion about the right trading price. As time evolves, both groups of traders update their opinions with respect to the current price. The speed of updating is controled by a parameter; the price process is described by a geometric Brownian motion. We consider the market's stability in terms of the distance between the buyers' and sellers' opinion, and prove that the distance process is recurrent/transient in dependence on the parameter.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) DFG Research Center MATHEON
 
7. Date (YYYY-MM-DD) 2009-01-27
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/594
 
10. Identifier Digital Object Identifier 10.1214/EJP.v14-594
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 14
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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