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

Taisei Kaizoji (), Stefan Bornholdt and Yoshi Fujiwara

Physica A: Statistical Mechanics and its Applications, 2002, vol. 316, issue 1, 441-452

Abstract: The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log-returns of stock prices to magnetization in the model and find that it is closely related to trading volume as observed in real markets. The cumulative distribution of log-returns exhibits scaling with exponents steeper than 2 and scaling is observed in the distribution of transition times between bull and bear markets.

Keywords: Econophysics; Stock market; Spin model; Volatility (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (54)

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Working Paper: Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:316:y:2002:i:1:p:441-452

DOI: 10.1016/S0378-4371(02)01216-5

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