Pregled bibliografske jedinice broj: 623515
Emergence of power-law and two-phase behaviour in financial market fluctuations
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)
CROSBI ID: 623515 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
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
Projekti:
036-0362214-1987 - Modeliranje kompleksnih sustava (Jeren, Branko, MZO ) ( CroRIS)
Ustanove:
Fakultet elektrotehnike i računarstva, Zagreb
Citiraj ovu publikaciju:
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
