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A SPIN MODEL OF MARKET DYNAMICS WITH RANDOM NEAREST NEIGHBOR COUPLING

TAKUYA YAMANO

Institute for Theoretical Physics, Cologne University, Zülpicher Str.77 D-50923 Köln, Germany

Faculty of Science, Tokyo Institute of Technology, Oh-okayama, Meguro-ku, Tokyo, 152-8551, Japan

https://doi.org/10.1142/S0129183102003425Cited by:7 (Source: Crossref)

Abstract

We consider a variant of the so-called Bornholdt spin model of a market dynamics, in which the random couplings with neighbors are incorporated. We observe that the occurrence of high returns decreases with a power law as the number of market participants becomes large up to three dimension.

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