Statistical properties of the phase transitions in a spin model for market microstructure

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Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two phases of an agent-based spin market model on a random network. The objective of the agents is to balance their desire to belong to the global minority and simultaneously to the local majority. We show that transitions between the "ordered" and "disordered" phases follow a Poisson process with a rate that is a monotonically decreasing function of the network connectivity.
4 pages, 11 figures, submitted to the 6th ACM Conference on Electronic Commerce, Vancouver, Canada, 2005

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Probability, 62P05; 91B26

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http://salesiana.dossiersoluciones.com/handle/123456789/73865

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0501244
 http://arxiv.org/abs/math/0501244

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arXiv