A New Space-Time Model for Interacting Agents in the Financial Market

University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

Author: Maria Boguta; [2009]

Keywords: space-time; interacting; agents; Curie-Weiss; Ising; Hamiltonian; temperature; crisis; magnetization; distribution; mathematics;

Abstract: 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.

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