Muffasir Badshah, Robert Boyer, Ted Theodosopoulos
Published 2005-01-16Version 1
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.
Comments: 4 pages, 6 figures, submitted to the 4th International Workshop on Computational Intelligence in Economics and Finance, 2005
Statistical properties of the phase transitions in a spin model for market microstructure
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