 Model of cunning agentsMateusz Denys Physica A: Statistical Mechanics and its Applications, 2021, vol. 574, issue C Abstract: A numerical agent-based spin model of financial markets, based on the Potts model from statistical mechanics, with a novel interpretation of the spin variable (as regards financial-market models) is presented. In this model, a value of the spin variable is only the agent’s opinion concerning current market situation, which he communicates to his nearest neighbors. Instead, the agent’s action (i.e., buying, selling, or staying inactive) is connected with a change of the spin variable. Hence, the agents can be considered as cunning in this model. That is, these agents encourage their neighbors to buy stocks if the agents have an opportunity to sell them, and the agents encourage their neighbors to sell stocks if the agents have a reversed opportunity. Predictions of the model are in good agreement with empirical data from various real-life financial markets. The model reproduces the shape of the usual and absolute-value autocorrelation function of returns as well as the distribution of times between superthreshold losses. Keywords: Ising; Financial market; Spin; Stylized facts; Agents (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002594 DOI: 10.1016/j.physa.2021.125987 Access Statistics for this article Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis More articles in Physica A: Statistical Mechanics and its Applications from Elsevier |
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