2011/03/28 by Sebastian M. Krause, Krause, Sebastian M., Stefan Bornholdt +1
Economics, Econometrics and Finance · Physics and Astronomy · #FOS: Economics and business #FOS: Physical sciences #Physics and Society (physics.soc-ph) #Pricing of Securities (q-fin.PR) #Statistical Mechanics (cond-mat.stat-mech) #cond-mat.stat-mech #physics.soc-ph #q-fin.PR
paper · pdf · doi:10.48550/arxiv.1103.5345
4 pages, 4 figures
arxiv created 2011/03/28 · arxiv updated 2011/03/29
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic models allow a deeper understanding of mechanisms in the market than the purely phenomenological macroscopic models, and thus bear the chance for better models for market regulation. We exemplify this strategy in a case study, deducing a macroscopic Langevin equation from a microscopic spin market model closely related to the Ising model. The interplay of the microscopic and the macroscopic view allows for a better understanding of the microscopic model, as well, and may guide the construction of agent based market models as basis of macroscopic price models.