Open Access
2009 Escaping the Brownian stalkers
Alexander Weiss
Author Affiliations +
Electron. J. Probab. 14: 139-160 (2009). DOI: 10.1214/EJP.v14-594


We propose a simple model for the behaviour of longterm investors on a stock market. It consists of three particles that represent the stock's current price and the buyers', respectively sellers', opinion about the right trading price. As time evolves, both groups of traders update their opinions with respect to the current price. The speed of updating is controled by a parameter; the price process is described by a geometric Brownian motion. We consider the market's stability in terms of the distance between the buyers' and sellers' opinion, and prove that the distance process is recurrent/transient in dependence on the parameter.


Download Citation

Alexander Weiss. "Escaping the Brownian stalkers." Electron. J. Probab. 14 139 - 160, 2009.


Accepted: 27 January 2009; Published: 2009
First available in Project Euclid: 1 June 2016

zbMATH: 1190.60078
MathSciNet: MR2471663
Digital Object Identifier: 10.1214/EJP.v14-594

Primary: 60J65
Secondary: 60K10

Keywords: Financial markets , market stability , recurrence , stochastic dynamics , transience

Vol.14 • 2009
Back to Top