Abstract
We study an extension of the Bornholdt spin-market model using con¯gurable network topology. The distribution of returns was studied using the probability plot correlation coe±cient and indicates three di®erent behaviors for the tails of the distribution of returns. The price volatility was studied by ¯tting the magnetization with a Wiener process and a power-law behavior was found for the volatility as a function of the levels of randomness and connectivity of the network. Both parameters have opposing e®ects on the risk as inferred from the Shannon entropy of the magnetization. Also, we show that trading can spatially auto-organize depending on the conditions of the control space. Finally, we show that there is a range of values of the control space that renders a model that reproduces real-market data.
Original language | English (US) |
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Article number | 2250101 |
Journal | International Journal of Modern Physics C |
Volume | 33 |
Issue number | 8 |
DOIs | |
State | Published - Aug 1 2022 |
Externally published | Yes |
Keywords
- Bornholdt model
- Econophysics
- Ising model
- small-world network
- Watts–Strogatz network
ASJC Scopus subject areas
- Statistical and Nonlinear Physics
- Mathematical Physics
- General Physics and Astronomy
- Computer Science Applications
- Computational Theory and Mathematics