BORNHOLDT'S SPIN MODEL OF A MARKET DYNAMICS IN HIGH DIMENSIONS

Takuya Yamano ()
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Takuya Yamano: Institute for Theoretical Physics, Cologne University, D-50923 Köln, Euroland

International Journal of Modern Physics C (IJMPC), 2002, vol. 13, issue 01, 89-96

Abstract: We present results of an extension of the market model introduced by Bornholdt to high dimensions. Three and four dimensions are shown to behave similar to two, for suitable parameters.

Keywords: Market dynamics; Bornholdt model; return distribution; volatility; autocorrelation function (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1142/S0129183102002961

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