Self-organizing Ising model of artificial financial markets with small-world network topology

被引：10

作者：

Zhao, Haijie ^{[1
,2
]}

Zhou, Jie ^{[2
]}

Zhang, Anghui ^{[2
]}

Su, Guifeng ^{[3
,4
]}

Zhang, Yi ^{[2
]}

机构：

[1] Fudan Univ, Dept Phys, Shanghai 200433, Peoples R China

[2] Shanghai Normal Univ, Dept Phys, Shanghai 200234, Peoples R China

[3] E China Normal Univ, Inst Theoret Phys, Shanghai 200262, Peoples R China

[4] E China Normal Univ, Dept Phys, Shanghai 200262, Peoples R China

来源：

EPL | 2013年 / 101卷 / 01期

关键词：

VOLATILITY; DYNAMICS; PRICE; SOCIOPHYSICS; SIMULATIONS; VOLUME;

D O I：

10.1209/0295-5075/101/18001

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. Copyright (C) EPLA, 2013

引用

页数：6

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