EMERGENCE OF POWER-LAW AND TWO-PHASE BEHAVIOR IN FINANCIAL MARKET FLUCTUATIONS

Zvonko Kostanjčar () and Branko Jeren ()
Additional contact information
Zvonko Kostanjčar: University of Zagreb Faculty of Electrical Engineering and Computing Unska 3, HR-10000 Zagreb, Croatia
Branko Jeren: University of Zagreb Faculty of Electrical Engineering and Computing Unska 3, HR-10000 Zagreb, Croatia

Advances in Complex Systems (ACS), 2013, vol. 16, issue 01, 1-12

Abstract: In this paper, we provide an insight into the emergence of power-law and two-phase behavior in the financial market fluctuations by defining an analytical model for time evolution of stock share prices. The defined model can exhibit bimodal behavior in the supply-demand structure of the market. Moreover, it differs from existing Ising-type models. It turns out that the constructed model is a solution of a thermodynamic limit of a Gibbs probability measure when the number of investors and the number of stock shares approaches the infinity. The energy functional of the Gibbs probability measure is derived from the Nash equilibrium of the underlying game.

Keywords: Complex systems; financial markets; Gibbs state (search for similar items in EconPapers)
Date: 2013
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219525913500082
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:acsxxx:v:16:y:2013:i:01:n:s0219525913500082

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219525913500082

Access Statistics for this article

Advances in Complex Systems (ACS) is currently edited by Frank Schweitzer

More articles in Advances in Complex Systems (ACS) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().