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The Ising Model on a Random Graph Applied to Interacting Agents on the Financial Market
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
2007 (English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

In this thesis we present a model of the interacting agents on the financial market. The agents are represented by a non-Euclidean random graph, where each agent communicate with another with probability p, and the interaction according to the Ising Model. We investigate properties of the model by direct calculations for small graph sizes, and by perfect simulation for larger graph sizes. We also present a model for asset price variation by using the magnetization of the Ising model.

Place, publisher, year, edition, pages
Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) , 2007.
Keywords [en]
Financial Market, Interacting Agents, Ising Model, Random Graph, Perfect Simulation
Identifiers
URN: urn:nbn:se:hh:diva-1637Local ID: 2082/2018OAI: oai:DiVA.org:hh-1637DiVA, id: diva2:238855
Subject / course
Financial Mathematics
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Available from: 2008-06-25 Created: 2008-06-25 Last updated: 2018-04-27

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fulltext(606 kB)419 downloads
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File name FULLTEXT01.pdfFile size 606 kBChecksum MD5
e90414847fe48da2b57a07ddcd19f61c85168c79c3053b15576fba7e0cebf4867766d13c6088e5da4d43b1e52cc5b664e19b92afe70d0a2a28b2f606d8d7281c10b226b2170fe68082f8ff7394daadea
Type fulltextMimetype application/pdf

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • 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