Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents

Details Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents

2002-07-10

arxiv.org/abs/cond-mat/0207253v1

Physica A 316 (2002) 441-452

Physics

Condensed Matter

Statistical Mechanics

14 pages LaTeX, 6 figures

Scientific paper

10.1016/S0378-4371(02)01216-5

The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and find that it is closely related to trading volume as observed in real markets. The cumulative distribution of log returns exhibits scaling with exponents steeper than 2 and scaling is observed in the distribution of transition times between bull and bear markets.

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