A SIMPLE MODEL OF PRICE FORMATION-Reference-Cited by-同舟云学术

A SIMPLE MODEL OF PRICE FORMATION

Published:2002-01 Issue:01 Volume:13 Page:115-123
ISSN:0129-1831
Container-title:International Journal of Modern Physics C
language:en
Short-container-title:Int. J. Mod. Phys. C

Author:

SZNAJD-WERON K.¹,WERON R.²

Affiliation:

1. Institute of Theoretical Physics, University of Wrocław, pl. Maxa Borna 9, 50-204 Wrocław, Poland

2. Hugo Steinhaus Center, Wrocław University of Technology, Wyspianskiego 27, 50-370 Wrocław, Poland

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.

Publisher

World Scientific Pub Co Pte Lt

Subject

Computational Theory and Mathematics,Computer Science Applications,General Physics and Astronomy,Mathematical Physics,Statistical and Nonlinear Physics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0129183102003000

Reference26 articles.

1. Dynamical structure factor for multiple-well configurations

2. Modelling collective opinion formation by means of active Brownian particles

3. Adaptive Competition, Market Efficiency, and Phase Transitions

4. Thermal Model for Adaptive Competition in a Market

5. A generalized spin model of financial markets

Cited by 85 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Mechanisms of investors’ bounded rationality and market herding effect by the stochastic Ising financial model;Physica A: Statistical Mechanics and its Applications;2024-08

2. Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach;Computational Economics;2024-01-15

3. A Perspective on the Ubiquity of Interaction Streams in Human Realm;Lecture Notes in Computer Science;2024

4. Asymmetric rate of returns and wealth distribution influenced by the introduction of technical analysis into a behavioral agent-based model;Physica A: Statistical Mechanics and its Applications;2023-11

5. Efficiency of a self-organizing Ising model of financial markets;International Journal of Modern Physics C;2023-07-19