A generalized spin model of financial markets Export

@article{citeulike:6081063, abstract = {Abstract: \ \ We reformulate the Cont-Bouchaud model of financial markets in terms of classical ” super-spins” where the spin value is a measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend this simplified model by switching on interactions among the super-spins to model the tendency of agencies getting influenced by the opinion of other managers. We also introduce a fictitious temperature (to model other random influences), and time-dependent local fields to model a slowly changing optimistic or pessimistic bias of traders. We point out close similarities between the price variations in our model with N super-spins and total displacements in an N-step Levy flight. We demonstrate the phenomena of natural and artificially created bubbles and subsequent crashes as well as the occurrence of ” fat tails” in the distributions of stock price variations.}, author = {Chowdhury, D. and Stauffer, D.}, citeulike-article-id = {6081063}, citeulike-linkout-0 = {http://dx.doi.org/10.1007/s100510050714}, citeulike-linkout-1 = {http://www.springerlink.com/content/j6xrq5jk8lbdcb6h}, day = {19}, doi = {10.1007/s100510050714}, journal = {The European Physical Journal B - Condensed Matter and Complex Systems}, keywords = {finance, ising, stauffer}, month = {April}, number = {3}, pages = {477--482}, posted-at = {2009-11-06 15:23:46}, priority = {0}, title = {A generalized spin model of financial markets}, url = {http://dx.doi.org/10.1007/s100510050714}, volume = {8}, year = {1999} }

TY - JOUR ID - citeulike:6081063 L3 - citeulike-article-id:6081063 N2 - Abstract:   We reformulate the Cont-Bouchaud model of financial markets in terms of classical “super-spins” where the spin value is a measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend this simplified model by switching on interactions among the super-spins to model the tendency of agencies getting influenced by the opinion of other managers. We also introduce a fictitious temperature (to model other random influences), and time-dependent local fields to model a slowly changing optimistic or pessimistic bias of traders. We point out close similarities between the price variations in our model with N super-spins and total displacements in an N-step Levy flight. We demonstrate the phenomena of natural and artificially created bubbles and subsequent crashes as well as the occurrence of “fat tails” in the distributions of stock price variations. IS - 3 JF - The European Physical Journal B - Condensed Matter and Complex Systems EP - 482 TI - A generalized spin model of financial markets VL - 8 SP - 477 KW - finance KW - ising KW - stauffer AU - Chowdhury, D AU - Stauffer, D PY - 1999/04/19/ UR - http://dx.doi.org/10.1007/s100510050714 ER -