科研之友
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摘要
We proposed a model of interacting market agents based on the generalized Ising spin model. The agents can take three actions: "buy", "sell", or ''stay inactive". We defined a price evolution in terms of the system magnetization. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns and volatility clustering.
- 出版日期2008-9
