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- W2897554671 abstract "Abstract We use a heterogeneous agent-based two-state sociophysics model to simulate financial markets. Focusing on stock market trader dynamics, we propose a model with two kinds of individual – the contrarian agent and the noise trader – in which the dynamics of buying and selling investors are governed by local and global interactions. We define an antiferromagnetic coupling that relates the option of contrarian agents to global magnetization and a ferromagnetic interaction that connects noise traders to their local neighborhood. Our model presents such stylized facts of real financial markets as clustered volatility, power-law distributed returns, and the long-time correlation of the absolute returns with exponential decay. We also observe that the distribution of logarithmic returns can be fitted by the Student’s t distribution in which its degree of freedom changes with the percentage of contrarian agents in the market." @default.
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- W2897554671 date "2019-02-01" @default.
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- W2897554671 title "Majority-vote model for financial markets" @default.
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- W2897554671 doi "https://doi.org/10.1016/j.physa.2018.10.007" @default.
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