A RANDOM CLUSTER PROCESS APPROACH TO COLLECTIVE MARKET DYNAMICS WITH LOCAL INTERACTIONS

DOI10.1142/S0219024909005178zbMath1185.91089MaRDI QIDQ5324403

Haiyan Cai, Kang Chen

Publication date: 3 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Gibbs distributionsocial interactionagent-based modelsrandom cluster process

Mathematics Subject Classification ID

Social networks; opinion dynamics (91D30) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Auctions, bargaining, bidding and selling, and other market models (91B26) Heterogeneous agent models (91B69) Actuarial science and mathematical finance (91G99)

Cites Work

• Gibbs measures and phase transitions
• A statistical equilibrium theory of markets
• Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• News and price returns from threshold behaviour and vice-versa: exact solution of an agent-based market model
• Collective dynamics of ‘small-world’ networks
• The Random-Cluster Model

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