Volume 101, Number 1, January 2013
|Number of page(s)||6|
|Section||Interdisciplinary Physics and Related Areas of Science and Technology|
|Published online||14 January 2013|
Self-organizing Ising model of artificial financial markets with small-world network topology
1 Department of Physics, Fudan University - Shanghai 200433, PRC
2 Physics Department, Shanghai Normal University - Shanghai 200234, PRC
3 Institute of Theoretical Physics and Department of Physics, East China Normal University Shanghai 200262, PRC
Received: 31 July 2012
Accepted: 7 December 2012
We study a self-organizing Ising-like model of artificial financial markets with underlying small-world (SW) network topology. The asset price dynamics results from the collective decisions of interacting agents which are located on a small-world complex network (the nodes symbolize the agents of a financial market). The model incorporates the effects of imitation, the impact of external news and private information. We also investigate the influence of different network topologies, from regular lattice to random graph, on the asset price dynamics by adjusting the probability of the rewiring procedure. We find that a specific combination of model parameters reproduce main stylized facts of real-world financial markets.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 89.75.-k – Complex systems / 87.23.Ge – Dynamics of social systems
© EPLA, 2013
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.