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Article overview
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A simple model of price formation | K. Sznajd-Weron
; R. Weron
; | Date: |
7 Nov 2001 | Journal: | Int. J. Modern Physics C, Vol. 13, No. 1 (2002) 115-123 | Subject: | Statistical Mechanics (cond-mat.stat-mech) | Abstract: | 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. | Source: | arXiv, cond-mat/0101001 | Services: | Forum | Review | PDF | Favorites |
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