A Simple Model of Local Prices and Associated Risk Evaluation

• Authors: K. Urbanowicz , J. Hołyst , P. Richmond
• 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

89.65.Gh; 75.10.Hk

Discipline

• 75.10.Hk: Classical spin models
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2008
• Volume: 114
• Issue: 3
• Pages: 501-506

Dates

published

2008-09

received

2007-11-22

Contributors

author

K. Urbanowicz

• Faculty of Physics, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland

author

J. Hołyst

• Faculty of Physics, Warsaw University of Technology, Koszykowa 75, 00-662 Warsaw, Poland

author

P. Richmond

• 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)

Identifiers

DOI

10.12693/APhysPolA.114.501