Affiliation:
1. Institut für Theoretische Physik, Universität Kiel, Leibnizstrasse 15, D-24098 Kiel, Germany
Abstract
A simple spin model is studied, motivated by the dynamics of traders in a market, where expectation bubbles and crashes occur. The dynamics is governed by interactions, which are frustrated across different scales: while ferromagnetic couplings connect each spin to its local neighborhood, an additional coupling relates each spin to the global magnetization. This new coupling is allowed to be anti-ferromagnetic. The resulting frustration causes a metastable dynamics with intermittency and phases of chaotic dynamics. The model reproduces main observations of real economic markets as power-law distributed returns and clustered volatility.
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
Cited by
160 articles.
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