STRUCTURALLY DYNAMIC SPIN MARKET NETWORKS

DOI10.1142/S0129183107011388zbMATH Open1200.82040arXivphysics/0701156MaRDI QIDQ3500253FDOQ3500253

Authors: Denis Horvárth, Zoltán Kuscik 

Publication date: 3 June 2008

Published in: International Journal of Modern Physics C (Search for Journal in Brave)

Abstract: The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of strategic variables and reconnection rules. The inherent structure of node agent "brain" is modeled by a recursive neural network with local and global inputs and feedback connections. For specific parametric combination the complex network displays small-world phenomenon combined with scale-free behavior. The identification of a local leader (network hub, agent whose strategies are frequently adapted by its neighbors) is carried out by repeated random walk process through network. The simulations show empirically relevant dynamics of price returns and volatility clustering. The additional emerging aspects of stylized market statistics are Zipfian distributions of fitness.

Full work available at URL: https://arxiv.org/abs/physics/0701156

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zbMATH Keywords

econophysicscomplex networksagent-based model

Mathematics Subject Classification ID

Dynamic lattice systems (kinetic Ising, etc.) and systems on graphs in time-dependent statistical mechanics (82C20) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Introduction to Econophysics
• Title not available (Why is that?)
• Growing random networks with fitness
• Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
• Ising-correlated clusters in the Cont-Bouchaud stock market model
• How effective is advertising in duopoly markets?
• Ising model for packet routing control

Cited In (6)

• Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
• Traders' networks of interactions and structural properties of financial markets: an agent-based approach
• Effects of fundamentals acquisition and strategy switch on stock price dynamics
• The bounds of heavy-tailed return distributions in evolving complex networks
• MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING ON REGULAR AND SMALL-WORLD LATTICES
• MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS

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