Open dynamic behaviour of financial markets

F. F. Gong (), F. X. Gong and F. Y. Gong

The European Physical Journal B: Condensed Matter and Complex Systems, 2006, vol. 49, issue 3, 267-268

Abstract: Open dynamic behaviour of financial markets with internal interactions between agents and with external “fields” from other systems are investigated using the approach of Grossman and Stiglitz for inefficient markets, and Keynes for interference of the market using physics of finance (referred to hereafter as phynance). The simulation results indicate that the NYSE data analyzed in Plerou, V. et al., Nature 421, 130 (2003) can be fitted by an equation of order parameter Φ and local deviation R of type: -(R+0.03) Φ+ 0.6 Φ 3 + 0.02=0, which is shown to be in remarkable agreement with Plerou's data. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2006

Keywords: 89.65.Gh Economics; econophysics, financial markets, business and management, 87.23.Ge Dynamics of social systems, 05.45.-a Nonlinear dynamics and chaos (see also section 45 Classical mechanics of discrete systems; for chaos in fluid dynamics, see 47.52.-j) , 89.75.Fb Structures and organization in complex systems, (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1140/epjb/e2006-00071-7

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