Reinterpretation of Sieczka-Hołyst Financial Market Model

• Authors: M. Denys , T. Gubiec , R. Kutner
• Languages of publication: EN

Abstracts

EN

In this work we essentially reinterpreted the Sieczka-Hołyst model to make it more suited for description of real markets. For instance, this reinterpretation made it possible to consider agents as crafty. These agents encourage their neighbors to buy some stocks if agents have an opportunity to sell these stocks. Also, agents encourage them to sell some stocks if agents have an opposite opportunity. Furthermore, in our interpretation price changes respond only to the agents' opinions change. This kind of respond protects the stock market dynamics against the paradox (present in the Sieczka-Hołyst model), where all agents e.g. buy stocks while the corresponding prices remain unchanged. In this work we found circumstances, where distributions of returns (obtained for quite different time scales) either obey power-law or have at least fat tails. We obtained these distributions from numerical simulations performed in the frame of our approach.

Keywords

EN

89.65.Gh; 89.75.Fb; 02.50.Ey

Discipline

• 02.50.Ey: Stochastic processes
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
• 89.75.Fb: Structures and organization in complex systems

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2013
• Volume: 123
• Issue: 3
• Pages: 513-517

Dates

published

2013-03

Contributors

author

M. Denys

• Institute of Theoretical Physics, Faculty of Physics, University of Warsaw, Hoża 69, PL-00-681 Warsaw, Poland

author

T. Gubiec

• Institute of Theoretical Physics, Faculty of Physics, University of Warsaw, Hoża 69, PL-00-681 Warsaw, Poland

author

R. Kutner

• Institute of Theoretical Physics, Faculty of Physics, University of Warsaw, Hoża 69, PL-00-681 Warsaw, Poland

References

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Identifiers

DOI

10.12693/APhysPolA.123.513