Abstract
Models for spin systems known from statistical physics are applied by analogy in econometrics in the form of agent-based models. Researchers suggest that the state variable temperature T corresponds to volatility σ in capital market theory problems. To the best of our knowledge, this has not yet been theoretically derived, for example, for an ideal agent system. In the present paper, we derive the exact algebraic relation between T and σ for an ideal agent system and discuss implications and limitations.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Journal of Statistical Mechanics: Theory and Experiment
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
