Properties of a renewal process approximation for a spin market model

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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.
4 pages, 6 figures, submitted to the 4th International Workshop on Computational Intelligence in Economics and Finance, 2005

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Probability, 62P05; 91B26; 60K35

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http://salesiana.dossiersoluciones.com/handle/123456789/73867

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0501248
 http://arxiv.org/abs/math/0501248

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arXiv