Escaping the Brownian stalkers

Abstract

We propose a simple model for the behaviour of long-time investors on stock markets, consisting of three particles, which represent the current price of the stock, and the opinion of the buyers, or sellers resp., about the right trading price. As time evolves both groups of traders update their opinions with respect to the current price. The update speed is controled by a parameter $gamma$, the price process is described by a geometric Brownian motion. The stability of the market is governed by the difference of the buyers' opinion and the sellers' opinion.