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University of Lethbridge

1. University of Lethbridge. Dhillon School of Business. When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market .

Degree: 2019, University of Lethbridge

The demand-supply relationship plays an important role in an order-driven stock market. In this thesis, we propose a stylized model by defining demand (supply) over a stock at a certain time as how many shares are on the bid (ask) side, which includes all buy (sell) limit orders and buy (sell) market orders. We treat two types of shares as two different species with an interaction effect and construct generalized Lotka-Volterra equations based on some properties or assumptions of an order-driven market. Also, we apply the model to simulate how the population of the two types of shares evolves over time under the condition that there is no signal information influencing the decisions of investors. The model suggests that the population of bid and ask shares moves either to a fixed point in the phase space or exhibits periodical dynamics. Also, our model explains, though not perfectly, why it is that stock prices sometimes behave chaotically.

Subjects/Keywords: Capital market; Demography; Lotka-Volterra equations; Stock exchanges; Supply and demand; Dissertations, Academic

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Business, U. o. L. D. S. o. (2019). When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market . (Thesis). University of Lethbridge. Retrieved from http://hdl.handle.net/10133/5545

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Business, University of Lethbridge. Dhillon School of. “When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market .” 2019. Thesis, University of Lethbridge. Accessed September 21, 2019. http://hdl.handle.net/10133/5545.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Business, University of Lethbridge. Dhillon School of. “When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market .” 2019. Web. 21 Sep 2019.

Vancouver:

Business UoLDSo. When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market . [Internet] [Thesis]. University of Lethbridge; 2019. [cited 2019 Sep 21]. Available from: http://hdl.handle.net/10133/5545.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Business UoLDSo. When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market . [Thesis]. University of Lethbridge; 2019. Available from: http://hdl.handle.net/10133/5545

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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