期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 316, 期 1-4, 页码 441-452出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/S0378-4371(02)01216-5
关键词
econophysics; stock market; spin model; volatility
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据