2005/01/15 by Muffasir Badshah, Robert Boyer, Badshah, Muffasir +4
Computer Science · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #Nonlinear Dynamics and Pattern Formation #math.PR #msc:62P05 #msc:91B26
paper · pdf · doi:10.48550/arxiv.math/0501244
4 pages, 11 figures, submitted to the 6th ACM Conference on Electronic Commerce, Vancouver, Canada, 2005
arxiv created 2005/01/15 · arxiv updated 2009/12/01
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two phases of an agent-based spin market model on a random network. The objective of the agents is to balance their desire to belong to the global minority and simultaneously to the local majority. We show that transitions between the "ordered" and "disordered" phases follow a Poisson process with a rate that is a monotonically decreasing function of the network connectivity.