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Emergence of power-law and two-phase behaviour in financial market fluctuations


Kostanjčar, Zvonko; Jeren, Branko
Emergence of power-law and two-phase behaviour in financial market fluctuations // Advances in complex systems, 16 (2013), 1350008-1 doi:10.1142/S0219525913500082 (međunarodna recenzija, članak, znanstveni)


Naslov
Emergence of power-law and two-phase behaviour in financial market fluctuations

Autori
Kostanjčar, Zvonko ; Jeren, Branko

Izvornik
Advances in complex systems (0219-5259) 16 (2013); 1350008-1

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Complex systems; financial markets; Gibbs state

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Elektrotehnika



POVEZANOST RADA


Projekt / tema
036-0362214-1987 - Modeliranje kompleksnih sustava (Branko Jeren, )

Ustanove
Fakultet elektrotehnike i računarstva, Zagreb

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus


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