Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2000-10-18
Physica A 287, 3-4, pp. 493--506
Physics
Condensed Matter
Statistical Mechanics
11 pages, 6 figures
Scientific paper
10.1016/S0378-4371(00)00388-5
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the investment attitude of other traders. Bubbles and crashes are understood and described qualitatively and quantitatively in terms of the classical phase transitions. The results of estimation the parameters of the model using the actual financial data (the bubble and the subsequent crash in the Japanese stock market in 1987-1992) show that the good quality of the fits, as well as the consistency of the values of the parameters.
No associations
LandOfFree
Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-34518