Emergence of power-law and two-phase behaviour in financial market fluctuations (CROSBI ID 191774)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Kostanjčar, Zvonko ; Jeren, Branko
engleski
Emergence of power-law and two-phase behaviour in financial market fluctuations
We provide insight into the emergence of power-law and two-phase behaviour in the financial market fluctuations by de fining an analytical model for time evolution of stock share prices. The de fined model can exhibit bimodal behaviour in the supply-demand structure of the market. Moreover, it di ffers from existing Ising-type models. It turns out that the constructed model is a solution of a thermodynamic limit of a Gibbs probability measure when the number of investors and the number of stock shares approaches the in finity. The energy functional of the Gibbs probability measure is derived from the Nash equilibrium of the underlying game.
complex systems; financial markets; Gibbs state
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Podaci o izdanju
16
2013.
1350008-1-1350008-12
objavljeno
0219-5259
10.1142/S0219525913500082