The Values Distribution in a Competing Shares Financial Market Model

TL;DR

This paper introduces a competing shares financial market model and demonstrates through simulations that it exhibits power-law distributed avalanches and truncated Levy stable price returns, aligning with empirical market data.

Contribution

The paper presents a novel competing shares model that captures critical market behaviors like avalanches and stable return distributions through numerical simulation.

Findings

Avalanche size distribution follows a power-law with exponent ~2.3.

Price returns distribution is truncated Levy stable, matching observed market data.

Model behavior is analyzed in the critical region through simulations.

Abstract

We present our competing shares financial market model and describe its behaviour by numerical simulation. We show that in the critical region the distribution avalanches of the market value as defined in this model has a power-law distribution with exponent around 2.3. In this region the price returns distribution is truncated Levy stable with exponent near the observed value.