Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 316, Issue 1-4, Pages 441-452Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/S0378-4371(02)01216-5
Keywords
econophysics; stock market; spin model; volatility
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The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log-returns of stock prices to magnetization in the model and find that it is closely related to trading volume as observed in real markets. The cumulative distribution of log-returns exhibits scaling with exponents steeper than 2 and scaling is observed in the distribution of transition times between bull and bear markets. (C) 2002 Elsevier Science B.V. All rights reserved.
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