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2008 | 114 | 3 | 501-506
Article title

A Simple Model of Local Prices and Associated Risk Evaluation

Content
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Languages of publication
EN
Abstracts
EN
A simple spin system is constructed to simulate dynamics of asset prices and studied numerically. The outcome for the distribution of prices is shown to depend both on the dimension of the system and the introduction of price into the link measure. For dimensions below 2, the associated risk is high and the price distribution is bimodal. For higher dimensions, the price distribution is Gaussian and the associated risk is much lower. It is suggested that the results are relevant to rare assets or situations where few players are involved in the deal making process.
Keywords
EN
Contributors
author
  • Faculty of Physics, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland
author
  • Faculty of Physics, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland
author
  • School of Physics, Trinity College, Dublin 2, Ireland
References
  • 1. K. Sznajd-Weron, J. Sznajd, Int. J. Mod. Phys. C 11, 1157 (2000);arXiv:cond-mat/0101130
  • 2. L. Sabatelli, P. Richmond, Int. J. Mod. Phys. C 14, 1223 (2003)
  • 3. L. Sabatelli, P. Richmond, Physica A 334, 274 (2004);arXiv:cond-mat/0309375
  • 4. D. Stauffer, Am. J. Phys. 76, 470 (2008)
  • 5. I. Dornic, H. Chaté, J. Chave, H. Hinrichsen, arXiv:cond-mat/0101202;L. Sabatelli, P. Richmond, arXiv:cond-mat/0305015
  • 6. L. Frachebourg, P.L. Krapivsky, Phys. Rev. E 53, R3009 (1995)
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv114n302kz
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