A SPIN MODEL OF MARKET DYNAMICS WITH RANDOM NEAREST NEIGHBOR COUPLING

Takuya Yamano ()
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Takuya Yamano: Institute for Theoretical Physics, Cologne University, Zülpicher Str.77 D-50923 Köln, Germany;

International Journal of Modern Physics C (IJMPC), 2002, vol. 13, issue 05, 645-648

Abstract: We consider a variant of the so-called Bornholdt spin model of a market dynamics, in which the random couplings with neighbors are incorporated. We observe that the occurrence of high returns decreases with a power law as the number of market participants becomes large up to three dimension.

Keywords: Econophysics; Ising model; price dynamics (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1142/S0129183102003425

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