MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING ON REGULAR AND SMALL-WORLD LATTICES

A. Krawiecki ()
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A. Krawiecki: Faculty of Physics, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland

International Journal of Modern Physics C (IJMPC), 2008, vol. 19, issue 07, 1035-1045

Abstract: A multi-agent spin model for changes of prices in the stock market based on the Ising-like cellular automaton with interactions between traders randomly varying in time is investigated by means of Monte Carlo simulations. The structure of interactions has topology of a small-world network obtained from regular two-dimensional square lattices with various coordination numbers by randomly cutting and rewiring edges. Simulations of the model on regular lattices do not yield time series of logarithmic price returns with statistical properties comparable with the empirical ones. In contrast, in the case of networks with a certain degree of randomness for a wide range of parameters the time series of the logarithmic price returns exhibit intermittent bursting typical of volatility clustering. Also the tails of distributions of returns obey a power scaling law with exponents comparable to those obtained from the empirical data.

Keywords: Econophysics; microscopic models of financial markets; complex networks; 89.65.Gh; 89.75.Hc; 05.45.-a (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0129183108012777

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