2002/07/10 by Taisei Kaizoji, Stefan Bornholdt, Yoshi Fujiwara · 7 citations
Computer Science · Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Nonlinear Dynamics and Pattern Formation #Theoretical and Computational Physics #cond-mat.stat-mech #q-fin.TR
paper · pdf · doi:10.1016/s0378-4371(02)01216-5
published as Physica A 316 (2002) 441-452 · 14 pages LaTeX, 6 figures
arxiv created 2002/07/10 · openalex publication_date 2002/12/01 · arxiv updated 2009/11/30 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and find that it is closely related to trading volume as observed in real markets. The cumulative distribution of log returns exhibits scaling with exponents steeper than 2 and scaling is observed in the distribution of transition times between bull and bear markets.