Effect of trading momentum and price resistance on stock market dynamics: a Glauber Monte Carlo simulation

A Monte Carlo computer simulation model is presented to study the evolution of stock price and the distribution of price fluctuation. The resistance is described by an elastic energy E_e= e· x² resulting from the price deviation x from an initial value and the momentum trading by the potential energy E_p=- b· y in a price gradient y field. The distribution of price fluctuation ( P( y)) is symmetric and shows a long time tail compatible over some range with a power-law, P( y)∼ y^{- μ} with μ≃4 at e=1.0, b=5 . The volatility auto-correlation function ( c( τ)) is positive for several iterations.