Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2000-12-30
Int. J. Modern Physics C, Vol. 13, No. 1 (2002) 115-123
Physics
Condensed Matter
Statistical Mechanics
Version 2: 4 pages, 4 figures; added more stringent statistical analysis; to appear in Int. J. Modern Physics C, Vol. 13, No.
Scientific paper
10.1142/S0129183102003000
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.
Sznajd--Weron Katarzyna
Weron Rafal
No associations
LandOfFree
A simple model of price formation 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 A simple model of price formation, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A simple model of price formation will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-12006