Self-organizing Ising model of financial markets

被引：0
|
作者：
W.-X. Zhou
D. Sornette
机构：
[1] School of Business and Research Center of Systems Engineering,
[2] East China University of Science and Technology,undefined
[3] Department of Management,undefined
来源：
The European Physical Journal B | 2007年 / 55卷
关键词：
64.60.Ht Dynamic critical phenomena; 89.65.Gh Economics; econophysics, financial markets, business and management; 87.23.Ge Dynamics of social systems;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We study a dynamical Ising-like model of agents' opinions (buy or sell) with learning, in which the coupling coefficients are re-assessed continuously in time according to how past external news (time-varying magnetic field) have explained realized market returns. By combining herding, the impact of external news and private information, we find that the stylized facts of financial markets are reproduced only when agents misattribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the Ising critical point.
引用
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页码：175 / 181
页数：6
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