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A Spin Model Of Market Dynamics With Random Nearest Neighbor Coupling

Author

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  • TAKUYA YAMANO

    (Institute for Theoretical Physics, Cologne University, Zülpicher Str.77 D-50923 Köln, Germany;
    Faculty of Science, Tokyo Institute of Technology, Oh-okayama, Meguro-ku, Tokyo, 152-8551, Japan)

Abstract

We consider a variant of the so-called Bornholdt spin model of a market dynamics, in which the random couplings with neighbors are incorporated. We observe that the occurrence of high returns decreases with a power law as the number of market participants becomes large up to three dimension.

Suggested Citation

  • Takuya Yamano, 2002. "A Spin Model Of Market Dynamics With Random Nearest Neighbor Coupling," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 13(05), pages 645-648.
    • Handle: RePEc:wsi:ijmpcx:v:13:y:2002:i:05:n:s0129183102003425
    DOI: 10.1142/S0129183102003425
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    Cited by:

    1. Tetsuya Takaishi, 2016. "Dynamical cross-correlation of multiple time series Ising model," Evolutionary and Institutional Economics Review, Springer, vol. 13(2), pages 455-468, December.
    2. Tetsuya Takaishi, 2009. "An Adaptive Markov Chain Monte Carlo Method for GARCH Model," Papers 0901.0992, arXiv.org.

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