A RANDOM CLUSTER PROCESS APPROACH TO COLLECTIVE MARKET DYNAMICS WITH LOCAL INTERACTIONS

DOI10.1142/S0219024909005178MaRDI QIDQ5324403zbMATH OpenFDO

Authors Haiyan Cai, Kang Chen

Publication date 3 August 2009

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

agent-based modelsGibbs distributionsocial interactionrandom cluster process

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Social networks; opinion dynamics (91D30) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Actuarial science and mathematical finance (91G99) Heterogeneous agent models (91B69)

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Cites work

• A statistical equilibrium theory of markets
• Collective dynamics of `small-world' networks
• Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
• Gibbs measures and phase transitions
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• News and price returns from threshold behaviour and vice-versa: exact solution of an agent-based market model
• The Random-Cluster Model

Cited in

(2)

• SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS
• scientific article; zbMATH DE number 2217603 (Why is no real title available?)

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