Structurally dynamic spin market networks

Details Structurally dynamic spin market networks Structurally dynamic spin market networks

2007-01-13

arxiv.org/abs/physics/0701156v2

Physics

Physics and Society

13 pages, 5 figures, accepted in IJMPC, references added, minor changes in model, new results and modified figures

Scientific paper

10.1142/S0129183107011388

The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of strategic variables and reconnection rules. The inherent structure of node agent "brain" is modeled by a recursive neural network with local and global inputs and feedback connections. For specific parametric combination the complex network displays small-world phenomenon combined with scale-free behavior. The identification of a local leader (network hub, agent whose strategies are frequently adapted by its neighbors) is carried out by repeated random walk process through network. The simulations show empirically relevant dynamics of price returns and volatility clustering. The additional emerging aspects of stylized market statistics are Zipfian distributions of fitness.

Affiliated with

Also associated with

No associations

Rating

Structurally dynamic spin market networks 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 Structurally dynamic spin market networks, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Structurally dynamic spin market networks will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-122235