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Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents

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  • Kaizoji, Taisei
  • Bornholdt, Stefan
  • Fujiwara, Yoshi

Abstract

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.

Suggested Citation

  • Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
    • Handle: RePEc:eee:phsmap:v:316:y:2002:i:1:p:441-452
    DOI: 10.1016/S0378-4371(02)01216-5
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