Journal
INTERNATIONAL JOURNAL OF MODERN PHYSICS C
Volume 13, Issue 1, Pages 115-123Publisher
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0129183102003000
Keywords
Ising model; agent-based model; econophysics; price dynamics
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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.
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