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BORNHOLDT'S SPIN MODEL OF A MARKET DYNAMICS IN HIGH DIMENSIONS

TAKUYA YAMANO

Institute for Theoretical Physics, Cologne University, D-50923 Köln, Euroland

On leave from Department of Applied Physics, Faculty of Science, Tokyo Institute of Technology, Oh-okayama, Meguro-ku Tokyo, 152-8551, Japan.

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https://doi.org/10.1142/S0129183102002961Cited by:15 (Source: Crossref)

Abstract

We present results of an extension of the market model introduced by Bornholdt to high dimensions. Three and four dimensions are shown to behave similar to two, for suitable parameters.

Keywords:

Market dynamics
Bornholdt model
return distribution
volatility
autocorrelation function

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Vol. 13, No. 01

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History

Received 10 October 2001

Revised 13 October 2001

Keywords

Market dynamics
Bornholdt model
return distribution
volatility
autocorrelation function

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BORNHOLDT'S SPIN MODEL OF A MARKET DYNAMICS IN HIGH DIMENSIONS

Abstract

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