Properties of a renewal process approximation for a spin market model
Probability
2007-05-23 v1
Abstract
In this short note we investigate the natur of the phase transitions in a spin market model as a function of the interaction strength between local and global effects. We find that the stochastic dynamics of this stylized market model exhibit a periodicity whose dependence on the coupling constant in the Ising-like Hamiltonian is robust to changes in the temperature and the size of the market.
Cite
@article{arxiv.math/0501248,
title = {Properties of a renewal process approximation for a spin market model},
author = {Muffasir Badshah and Robert Boyer and Ted Theodosopoulos},
journal= {arXiv preprint arXiv:math/0501248},
year = {2007}
}
Comments
4 pages, 6 figures, submitted to the 4th International Workshop on Computational Intelligence in Economics and Finance, 2005