Regensburg 2010 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 23: Financial Markets and Risk Management III

SOE 23.1: Talk

Friday, March 26, 2010, 10:15–10:45, H44

Global risks from local behavior in markets — •Stefan Bornholdt — Institut für Theoretische Physik, Universität Bremen, Otto-Hahn-Allee, 28359 Bremen

Agent-based models [1] are particularly suited for studying the relationship between local agent behavior in markets and global dynamical consequences from their collective effects. Magnetic spin models [2] are perhaps the simplest such models which can relate to phenomena in real markets, as for example herding dynamics and the origin of stylized facts. I here review the state of the art of spin models in econophysics and discuss their application to modeling risk and crises in financial markets.

[1] E. Samanidou, E. Zschischang, D. Stauffer, and T. Lux, Agent-based models of financial markets, Rep. Prog. Phys. 70, 409 - 450 (2007)

[2] S. Bornholdt, Expectation bubbles in a spin model of markets: Intermittency from frustration across scales, Int. J. Mod. Phys. C, Vol. 12, No. 5 (2001) 667-674.