IDEAS home Printed from https://ideas.repec.org/a/wsi/ijmpcx/v18y2007i08ns0129183107011388.html
   My bibliography  Save this article

Structurally Dynamic Spin Market Networks

Author

Listed:
  • DENIS HORVÁTH

    (Department of Theoretical Physics and Astrophysics, Šafárik University, Park Angelinum 9, 040 01 Košice, Slovak Republic)

  • ZOLTÁN KUSCSIK

    (Department of Theoretical Physics and Astrophysics, Šafárik University, Park Angelinum 9, 040 01 Košice, Slovak Republic)

Abstract

The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of strategic variables and reconnection rules. The inherent structure of node agent "brain" is modeled by a recursive neural network with local and global inputs and feedback connections. For specific parametric combination the complex network displays small-world phenomenon combined with scale-free behavior. The identification of a local leader (network hub, agent whose strategies are frequently adapted by its neighbors) is carried out by repeated random walk process through network. The simulations show empirically relevant dynamics of price returns and volatility clustering. The additional emerging aspects of stylized market statistics are Zipfian distributions of fitness.

Suggested Citation

  • Denis Horváth & Zoltán Kuscsik, 2007. "Structurally Dynamic Spin Market Networks," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1361-1374.
    • Handle: RePEc:wsi:ijmpcx:v:18:y:2007:i:08:n:s0129183107011388
    DOI: 10.1142/S0129183107011388
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0129183107011388
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0129183107011388?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871.
    2. ., 2006. "Physical and Social Indicators," Chapters, in: Middle East Oil Exporters, chapter 5, Edward Elgar Publishing.
    3. Tél, Tamás & Vollmer, Jürgen & Mátyás, László, 2003. "Comments on the paper ‘Particles, maps and irreversible thermodynamics’ by E.G.D. Cohen, L. Rondoni, Physica A 306 (2002) 117," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 323-326.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
    2. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hua Kuang & Song Tao & Shiqiang Dai & Xingli Li, 2009. "Subconscious Effect On Pedestrian Counter Flow In A Modified Lattice Gas Model With The Variable Transition Probability," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 20(12), pages 1945-1961.
    2. Jun Yang & Zhongsheng Hou & Minghui Zhan, 2013. "Simulation Of Pedestrian Dynamic Using A Vector Floor Field Model," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 24(04), pages 1-16.
    3. Krzysztof Kułakowski, 2006. "Cooperation And Defection In Ghetto," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 287-298.
    4. Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo, 2013. "Bridging stylized facts in finance and data non-stationarities," Papers 1302.3197, arXiv.org, revised May 2013.
    5. Assaf Almog & Ferry Besamusca & Mel MacMahon & Diego Garlaschelli, 2015. "Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-16, July.
    6. Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.
    7. Alves, L.G.A. & Ribeiro, H.V. & Lenzi, E.K. & Mendes, R.S., 2014. "Empirical analysis on the connection between power-law distributions and allometries for urban indicators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 409(C), pages 175-182.
    8. Muchnik, Lev & Bunde, Armin & Havlin, Shlomo, 2009. "Long term memory in extreme returns of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4145-4150.
    9. Zhang, Chao & Huang, Lu, 2010. "A quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5769-5775.
    10. Michelle B Graczyk & Sílvio M Duarte Queirós, 2017. "Intraday seasonalities and nonstationarity of trading volume in financial markets: Collective features," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-23, July.
    11. Kutner, Ryszard & Wysocki, Krzysztof, 1999. "Applications of statistical mechanics to non-brownian random motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 274(1), pages 67-84.
    12. Lee, Jae Woo & Eun Lee, Kyoung & Arne Rikvold, Per, 2006. "Multifractal behavior of the Korean stock-market index KOSPI," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 364(C), pages 355-361.
    13. Rouhang Chen & Bing Qiu & Chaoying Zhang & Lingjiang Kong & Muren Liu, 2007. "A Study On The Evacuation Of People In A Hall Using The Cellular Automaton Model," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 359-367.
    14. Zhang, J.W. & Zhang, Y. & Kleinert, H., 2007. "Power tails of index distributions in chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 166-172.
    15. Paulo Ferreira & Éder J.A.L. Pereira & Hernane B.B. Pereira, 2020. "From Big Data to Econophysics and Its Use to Explain Complex Phenomena," JRFM, MDPI, vol. 13(7), pages 1-10, July.
    16. Liviu-Adrian Cotfas, 2012. "A quantum mechanical model for the rate of return," Papers 1211.1938, arXiv.org.
    17. Chakrabarti, Anindya S., 2015. "Stochastic Lotka-Volterra equations: A model of lagged diffusion of technology in an interconnected world," IIMA Working Papers WP2015-08-05, Indian Institute of Management Ahmedabad, Research and Publication Department.
    18. Bing Qiu & Huili Tan & Chaoying Zhang & Lingjiang Kong & Muren Liu, 2005. "Cellular Automaton Simulation Of The Escaping Pedestrian Flow In Corridor," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 225-235.
    19. David Vidal-Tomás & Simone Alfarano, 2020. "An agent-based early warning indicator for financial market instability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 49-87, January.
    20. Serge Galam, 2008. "Sociophysics: A Review Of Galam Models," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 409-440.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijmpcx:v:18:y:2007:i:08:n:s0129183107011388. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijmpc/ijmpc.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.