V.B. Gisin, A.B. Shapoval
Finance Academy under Government of Russian Federation
49-55, Leningradsky Prospect, Moscow, 125468, RUSSIA
e-mail: vgisin@online.ru
Finance Academy under Government of Russian Federation
International Institute of Earthquake Prediction Theory
49-55, Leningradsky Prospect, Moscow, 125468, RUSSIA
e-mail: shapoval@mccme.ru
url: www.mccme.ru/ shapoval

Abstract.The paper revisits two agent based models of the stock market. We find that the generalized Ising model exhibits the index of variation being close to that for the Russian trading system. For Sato-Takayasu model we introduce a generalization that, becoming more stable with respect to the input data, reproduces the market stylized facts.

Received: August 17, 2007

AMS Subject Classification: 90A60, 90A12, 90B60

Key Words and Phrases: agent based models, heavy tails, variation index

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2008
Volume: 42
Issue: 4