A simple model of price formation

被引：93

作者：

Sznajd-Weron, K

Weron, R

机构：

[1] Univ Wroclaw, Inst Theoret Phys, PL-50204 Wroclaw, Poland

[2] Wroclaw Univ Technol, Hugo Steinhaus Ctr, PL-50370 Wroclaw, Poland

来源：

INTERNATIONAL JOURNAL OF MODERN PHYSICS C | 2002年 / 13卷 / 01期

关键词：

Ising model; agent-based model; econophysics; price dynamics;

D O I：

10.1142/S0129183102003000

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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.

引用

收藏

页码：115 / 123

页数：9

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