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A simple model of local prices and associated risk evaluation

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Listed:
  • Krzysztof Urbanowicz
  • Peter Richmond
  • Janusz A. Ho{l}yst

Abstract

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.

Suggested Citation

  • Krzysztof Urbanowicz & Peter Richmond & Janusz A. Ho{l}yst, 2014. "A simple model of local prices and associated risk evaluation," Papers 1408.1352, arXiv.org.
    • Handle: RePEc:arx:papers:1408.1352
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    References listed on IDEAS

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    1. Lorenzo Sabatelli & Peter Richmond, 2003. "Phase Transitions, Memory And Frustration In A Sznajd-Like Model With Synchronous Updating," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 14(09), pages 1223-1229.
    2. Katarzyna Sznajd-Weron & Józef Sznajd, 2000. "Opinion Evolution In Closed Community," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 11(06), pages 1157-1165.
    3. Sabatelli, Lorenzo & Richmond, Peter, 2004. "Non-monotonic spontaneous magnetization in a Sznajd-like consensus model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 334(1), pages 274-280.
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