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A New Space-Time Model for Interacting Agents in the Financial Market
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). (Financial Mathematics)
2009 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

In this thesis we present a new space-time model of interacting agents in the financial market. It is a combination of the Curie-Weiss model and a model introduced by Järpe. We investigate properties such as the critical temperature and magnetization of the system. The distribution of the Hamiltonian function is obtained and a hypothesis test of independence is derived. The results are illustrated in an example based on real data.

Place, publisher, year, edition, pages
2009. , p. 44
Keywords [en]
space-time, interacting, agents, Curie-Weiss, Ising, Hamiltonian, temperature, crisis, magnetization, distribution, mathematics
National Category
Probability Theory and Statistics Computational Mathematics
Identifiers
URN: urn:nbn:se:hh:diva-3180OAI: oai:DiVA.org:hh-3180DiVA, id: diva2:273990
Presentation
2009-06-01, Haldasalen, Halmstad University, Halmstad, 09:00 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2009-11-20 Created: 2009-10-26 Last updated: 2009-11-20Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf