A simple model of price formation

Katarzyna Sznajd-Weron and R. Weron
Authors registered in the RePEc Author Service: Rafał Weron

Papers from arXiv.org

Abstract: A simple Ising spin model which can describe the mechanism of price formation in financial markets is proposed. In contrast to other agent-based models, the influence does not flow inward from the surrounding neighbors to the center site, but spreads outward from the center to the neighbors. The model thus describes the spread of opinions among traders. It is shown via standard Monte Carlo simulations that very simple rules lead to dynamics that duplicate those of asset prices.

Date: 2000-12, Revised 2001-11
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Citations: View citations in EconPapers (9)

Published in Int. J. Modern Physics C, Vol. 13, No. 1 (2002) 115-123

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Journal Article: A SIMPLE MODEL OF PRICE FORMATION (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0101001

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