Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents

DOI10.1016/S0378-4371(02)01216-5zbMath1001.91037arXivcond-mat/0207253OpenAlexW3101912107MaRDI QIDQ1847462

Yoshi Fujiwara, Taisei Kaizoji, Stefan Bornholdt

Publication date: 26 November 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0207253

zbMATH Keywords

scalingcumulative log-return distributiontransition-time distribution

Mathematics Subject Classification ID

Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics (82B20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (16)

Heterogeneous round-trip trading and the emergence of volatility clustering in speculation game ⋮ An Ising spin state explanation for financial asset allocation ⋮ Equilibrium pricing in an order book environment: case study for a spin model ⋮ Development of an agent-based speculation game for higher reproducibility of financial stylized facts ⋮ Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment ⋮ A q-spin Potts model of markets: gain-loss asymmetry in stock indices as an emergent phenomenon ⋮ STRUCTURALLY DYNAMIC SPIN MARKET NETWORKS ⋮ The Ising model with hybrid Monte Carlo ⋮ Herding, minority game, market clearing and efficient markets in a simple spin model framework ⋮ Order aggressiveness, pre-trade transparency, and long memory in an order-driven market ⋮ Financial power laws: empirical evidence, models, and mechanisms ⋮ Self-organizing Ising model of financial markets ⋮ Interaction in agent-based economics: a survey on the network approach ⋮ Robust mathematical formulation and probabilistic description of agent-based computational economic market models ⋮ Analysis of a decision model in the context of equilibrium pricing and order book pricing ⋮ MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL

Cites Work

• The Present-Value Relation: Tests Based on Implied Variance Bounds
• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Coarse-graining and self-similarity of price fluctuations

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