| Abstract: | In this approach, the complexity of the self-organizing microstructure of the stock exchange is explicitly taken into consideration: the process of offers and trades as well as the adjustment of individual expectations are modelled with help of a (stochastic) jump process. Its abilities are illustrated by modelling the continuous quotations of asset prices at an auction type stock exchange. The functional form of the transition (hazard) rates is chosen to reflect the individual preferences and expectations as well as the economic environment. The model is described in detail and examples of Monte Carlo simulation results are presented. |
