Geodesic
Statistical majority model of financial market with price auction
Učënye zapiski Kazanskogo universiteta. Seriâ Fiziko-matematičeskie nauki, Kazanskii Gosudarstvennyi Universitet. Uchenye Zapiski. Seriya Fiziko-Matematichaskie Nauki, Tome 151 (2009) no. 3, pp. 179-187

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Mathematical modeling of financial markets has been carried out, their main processes being described on the basis of game theory. The condition of markets on the verge of collapse has been investigated, when strong correlations occur in the market participants' behaviour and, consequently, prices greatly deviate from the usual state. The dependence of statistical characteristics of model market on the parameters of the adopted model has been researched. With a view to getting an objective estimate of adequacy and applicability limits of the constructed model,the calculated characteristics have been compared with statistical characteristics of the real markets. On the basis of the results obtained, ways of improving the models of financial markets are suggested.
Keywords: mathematical market models, statistical market characteristics, game theory. 
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     author = {T. R. Shahmuratov},
     title = {Statistical majority model of financial market with price auction},
     journal = {U\v{c}\"enye zapiski Kazanskogo universiteta. Seri\^a Fiziko-matemati\v{c}eskie nauki},
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     publisher = {mathdoc},
     volume = {151},
     number = {3},
     year = {2009},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/UZKU_2009_151_3_a15/}
}
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T. R. Shahmuratov. Statistical majority model of financial market with price auction. Učënye zapiski Kazanskogo universiteta. Seriâ Fiziko-matematičeskie nauki, Kazanskii Gosudarstvennyi Universitet. Uchenye Zapiski. Seriya Fiziko-Matematichaskie Nauki, Tome 151 (2009) no. 3, pp. 179-187. http://geodesic.mathdoc.fr/item/UZKU_2009_151_3_a15/