A q-spin Potts model of markets: Gain-loss asymmetry in stock indices as an emergent phenomenon

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Tác giả: Stefan Bornholdt

Ngôn ngữ: eng

Ký hiệu phân loại: 330 Economics

Thông tin xuất bản: 2021

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 168362

Comment: 14 pages, 3 figuresSpin models of markets inspired by physics models of magnetism, as the Ising model, allow for the study of the collective dynamics of interacting agents in a market. The number of possible states has been mostly limited to two (buy or sell) or three options. However, herding effects of competing stocks and the collective dynamics of a whole market may escape our reach in the simplest models. Here I study a q-spin Potts model version of a simple Ising market model to represent the dynamics of a stock market index in a spin model. As a result, a self-organized gain-loss asymmetry in the time series of an index variable composed of stocks in this market is observed.
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