Berlin 2012 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 15: Poster Session

SOE 15.4: Poster

Mittwoch, 28. März 2012, 16:50–17:50, Poster F

Spin models as microfoundation of macroscopic financial market models — •Sebastian M. Krause and Stefan Bornholdt — Institut für Theoretische Physik, Universität Bremen, Otto-Hahn-Allee, 28359 Bremen

The prices of financial assets show a typical behavior, known as stylized facts. The logarithmic absolute returns are power law distributed, which means that big changes are more common than in a Gaussian random walk, and they occur clustered.

There are two model types concerning stylized facts. Macroscopic models model the stochastic properties of prices and are broadly used to estimate future risks. Microscopic agent based models provide a better understanding of the emergence of stylized facts from local behavior. We here investigate a modified Ising model [1] which is an agent based model known to reproduce several stylized facts. We deduce a macroscopic Langevin equation for this model and use the comparison of micro- and macro-description to understand the mechanism behind fat-tailed logarithmic absolute returns. Additionally we find a crossover with consequences for the finite size scaling.

[1] S. Bornholdt, Expectation bubbles in a spin model of markets: Intermittency from frustration across scales; Int. J. Mod. Phys. C 12 (2001) 667-674.

[2] S. M. Krause and S. Bornholdt, Spin models as microfoundation of macroscopic financial market models (2011) arXiv:1103.5345v1.