Regensburg 2013 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 25: Poster session

SOE 25.11: Poster

Donnerstag, 14. März 2013, 17:15–19:00, Poster C

Social temperature and fear in an opinion formation model of markets — •Sebastian M. Krause and Stefan Bornholdt — Institut für Theoretische Physik, Universität Bremen, Hochschulring 18, D-28359 Bremen

In the growing field of behavioral finance, market participants are characterized using psychological and sociological criteria. Two considerable effects among investors are herding behavior and a varying market temperature culminating in periods with panic-like behavior.

We incorporate both effects in an agent based model and study its statistical properties [1]. The herding behavior is captured with a model from the family of opinion formation models which are broadly discussed in the physics literature. Showing tunable social temperatures, these models show emergent behavior like phase transitions. With the introduction of a feedback acting on the temperature [2], the social temperature reacts to market imbalances and thus becomes time dependent. The system shows alternating metastable phases: (a) fluctuations around fixed points connected to a non-equilibrium phase transition, as well as: (b) ordered states of low temperature.

[1] S. M. Krause, S. Bornholdt, Opinion formation model for markets with a social temperature and fear, Phys. Rev. E 86 (2012) 056106.

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