Extending spin market models to realistic scenarios

R. Borrasca Neto, B. J. Becker, C. R. Da Cunha

Research output: Contribution to journalArticlepeer-review

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 languageEnglish (US)
Article number2250101
JournalInternational Journal of Modern Physics C
Volume33
Issue number8
DOIs
StatePublished - Aug 1 2022
Externally publishedYes

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

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