MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS

DOI10.1142/S0129183105007285zbMath1121.91363MaRDI QIDQ5706691

A. Krawiecki

Publication date: 21 November 2005

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

Full work available at URL: https://doi.org/10.1142/s0129183105007285

zbMATH Keywords

multiplicative noise; on-off intermittency; Econophysics

Mathematics Subject Classification ID

82B20: Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics

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Cites Work

• Random economies with many interacting agents
• Stochastic resonance as a model for financial market crashes and bubbles
• Volatility clustering in agent based market models
• A NONLINEAR SUPER-EXPONENTIAL RATIONAL MODEL OF SPECULATIVE FINANCIAL BUBBLES
• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS