Expectation bubbles in a spin model of markets: Intermittency from frustration across scales
Statistical Mechanics
2009-11-07 v2
Abstract
A simple spin model is studied, motivated by the dynamics of traders in a market where expectation bubbles and crashes occur. The dynamics is governed by interactions which are frustrated across different scales: While ferromagnetic couplings connect each spin to its local neighborhood, an additional coupling relates each spin to the global magnetization. This new coupling is allowed to be anti-ferromagnetic. The resulting frustration causes a metastable dynamics with intermittency and phases of chaotic dynamics. The model reproduces main observations of real economic markets as power-law distributed returns and clustered volatility.
Cite
@article{arxiv.cond-mat/0105224,
title = {Expectation bubbles in a spin model of markets: Intermittency from frustration across scales},
author = {Stefan Bornholdt},
journal= {arXiv preprint arXiv:cond-mat/0105224},
year = {2009}
}
Comments
5 pages RevTeX, 5 figures eps, revised version