Download or read book Applications of Microscopic Modelling in Finance written by Alexander Weiß and published by Sudwestdeutscher Verlag Fur Hochschulschriften AG. This book was released on 2010-03 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: For the financial industry, it is of paramount importance to understand the statistical features of price processes. While statistical models can reproduce empirical findings, they cannot give insight into the causal relationships and the market's response to a changing environment. Microscopic models of financial markets are an approach to understand the underlying mechanisms determining the market behaviour. In this book, we give an introduction to the basic idea of microscopic modelling with a particular focus on the "Opinion Game," a microscopic market model introduced by Bovier, erny and Hryniv (2006). Within the framework of the Opinion Game, we devote ourselves to two issues: First, the market stability in dependence on long-term investors and, second, the market illiquidity when orders of large volumes are executed. A survey of a JAVA implementation of the Opinion Game completes the book.