IDEAS home Printed from https://ideas.repec.org/a/wsi/acsxxx/v16y2013i01ns0219525913500082.html
   My bibliography  Save this article

Emergence Of Power-Law And Two-Phase Behavior In Financial Market Fluctuations

Author

Listed:
  • ZVONKO KOSTANJČAR

    (University of Zagreb Faculty of Electrical Engineering and Computing Unska 3, HR-10000 Zagreb, Croatia)

  • BRANKO JEREN

    (University of Zagreb Faculty of Electrical Engineering and Computing Unska 3, HR-10000 Zagreb, Croatia)

Abstract

In this paper, we provide an insight into the emergence of power-law and two-phase behavior in the financial market fluctuations by defining an analytical model for time evolution of stock share prices. The defined model can exhibit bimodal behavior in the supply-demand structure of the market. Moreover, it differs from existing Ising-type models. It turns out that the constructed model is a solution of a thermodynamic limit of a Gibbs probability measure when the number of investors and the number of stock shares approaches the infinity. The energy functional of the Gibbs probability measure is derived from the Nash equilibrium of the underlying game.

Suggested Citation

  • Zvonko Kostanjčar & Branko Jeren, 2013. "Emergence Of Power-Law And Two-Phase Behavior In Financial Market Fluctuations," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 16(01), pages 1-12.
    • Handle: RePEc:wsi:acsxxx:v:16:y:2013:i:01:n:s0219525913500082
    DOI: 10.1142/S0219525913500082
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219525913500082
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219525913500082?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lin William Cong & Xi Li & Ke Tang & Yang Yang, 2023. "Crypto Wash Trading," Management Science, INFORMS, vol. 69(11), pages 6427-6454, November.
    2. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
    3. Begušić, Stjepan & Kostanjčar, Zvonko & Eugene Stanley, H. & Podobnik, Boris, 2018. "Scaling properties of extreme price fluctuations in Bitcoin markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 400-406.
    4. Stjepan Beguv{s}i'c & Zvonko Kostanjv{c}ar & H. Eugene Stanley & Boris Podobnik, 2018. "Scaling properties of extreme price fluctuations in Bitcoin markets," Papers 1803.08405, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:acsxxx:v:16:y:2013:i:01:n:s0219525913500082. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/acs/acs.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.