Criticality and Punctuated Equilibrium in a Spin System Model of a Financial Market

Details Criticality and Punctuated Equilibrium in a Spin System Model of a Financial Market Criticality and Punctuated Equilibrium in a Spin System Model of a Financial Market

1999-11-19

arxiv.org/abs/adap-org/9911004v1

Nonlinear Sciences

Adaptation and Self-Organizing Systems

15 pages, 7 figures, to appear in Chaos, Solitons and Fractals, rec.date 1999.3

Scientific paper

We describe a financial market model which shows a non-equilibrium phase
transition. Near the transition punctuated equilibrium behaviour is seen, with
avalanches occuring on all scales. This scaling is described by an exponent
very near 1. This system shows intermittent time development with bursts of
global synchronization reminiscent of a market rollercoaster.

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