Phase Transition in a Bounded Rational Speculative and Hedging Model

ISBN-13: 9786202004671 / Angielski / MiÄ™kka / 2017 / 128 str.

Michael Campbell; David Carfi

Opis

The authors create an economic model of two interacting markets with bounded rational agents that exhibits emergence of market preference arising from a broken market-exchange symmetry. Such emergence can cause agents to move money from one market into the other, resulting in a market crash in certain scenarios. The market-exchange symmetry, and its breaking, gives a statistical mechanics perspective to the ideas of the Sonnenschein-Mantel-Debreu theorem.

O autorze

Michael Campbell is a freelance researcher working in econophysics and artificial intelligence. He also works for Aurislink as a founding member, and judges wine for the Orange County Fair each summer. David Carfi is a math professor at the University of Messina, a visiting researcher at the University of California Riverside, and a pianist.