| Article ID: | iaor20084530 |
| Country: | United States |
| Volume: | 2006 |
| Issue: | 86412 |
| Start Page Number: | 1 |
| End Page Number: | 11 |
| Publication Date: | Jan 2006 |
| Journal: | Journal of Applied Mathematics and Stochastic Analysis |
| Authors: | Remita Mohamed Riad, Eisele Karl-Theodor |
| Keywords: | markov processes |
We study a stock market model, consisting in a large number of agents, going eventually to infinity, and evaluate the stock price under the influence of opinions of different agents. Next we study the behavior of prices when the market is very nervous; there appear discontinuities (phase transitions) which can be interpreted as stock market crashes.